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Sourcecode: quantlib version File versions  Download package

sabrinterpolation.hpp File Reference


Detailed Description

SABR interpolation interpolation between discrete points.

Definition in file sabrinterpolation.hpp.

#include <ql/Math/interpolation.hpp>
#include <ql/Optimization/problem.hpp>
#include <ql/Optimization/conjugategradient.hpp>
#include <ql/Utilities/null.hpp>
#include <vector>

Go to the source code of this file.

Namespaces

namespace  QuantLib
namespace  QuantLib::detail

Classes

class  QuantLib::detail::SABRCoefficientHolder
class  QuantLib::SABRInterpolation
 SABR smile interpolation between discrete volatility points. More...
class  QuantLib::detail::SABRInterpolationImpl< I1, I2 >
class  QuantLib::detail::SABRInterpolationImpl< I1, I2 >::SABRConstraint
class  QuantLib::detail::SABRInterpolationImpl< I1, I2 >::SABRConstraint::Impl
class  QuantLib::detail::SABRInterpolationImpl< I1, I2 >::SABRError


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