interpolationWeights (3) - Linux Manuals

interpolationWeights: SABR smile interpolation between discrete volatility points.

NAME

QuantLib::SABRInterpolation - SABR smile interpolation between discrete volatility points.

SYNOPSIS

#include <ql/math/interpolations/sabrinterpolation.hpp>

Inherits QuantLib::Interpolation.

Public Member Functions

template<class I1 , class I2 > SABRInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=false, const boost::shared_ptr< EndCriteria > &endCriteria=boost::shared_ptr< EndCriteria >(), const boost::shared_ptr< OptimizationMethod > &optMethod=boost::shared_ptr< OptimizationMethod >())

Real expiry () const

Real forward () const

Real alpha () const

Real beta () const

Real nu () const

Real rho () const

Real rmsError () const

Real maxError () const

const std::vector< Real > & interpolationWeights () const

EndCriteria::Type endCriteria ()

Detailed Description

SABR smile interpolation between discrete volatility points.

Author

Generated automatically by Doxygen for QuantLib from the source code.