sabrinterpolation (3) - Linux Manuals

sabrinterpolation: SABR interpolation interpolation between discrete points.

Command to display sabrinterpolation manual in Linux: $ man 3 sabrinterpolation

NAME

ql/math/interpolations/sabrinterpolation.hpp - SABR interpolation interpolation between discrete points.

SYNOPSIS

#include <ql/math/interpolation.hpp>
#include <ql/math/optimization/method.hpp>
#include <ql/math/optimization/simplex.hpp>
#include <ql/math/optimization/levenbergmarquardt.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/utilities/null.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/termstructures/volatility/sabr.hpp>
#include <ql/math/optimization/projectedcostfunction.hpp>
#include <ql/math/optimization/constraint.hpp>

Classes

class SABRInterpolation
SABR smile interpolation between discrete volatility points.
class SABR
SABR interpolation factory and traits

Detailed Description

SABR interpolation interpolation between discrete points.

Author

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