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Sourcecode: quantlib version File versions

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/method.hpp>
#include <ql/Optimization/problem.hpp>
#include <ql/Optimization/conjugategradient.hpp>
#include <ql/Optimization/simplex.hpp>
#include <ql/Utilities/null.hpp>
#include <ql/Utilities/dataformatters.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 >::SABRError
class  QuantLib::detail::SABRInterpolationImpl< I1, I2 >::SABRErrorWithFixedBeta
class  QuantLib::detail::SABRInterpolationImpl< I1, I2 >::SabrParametersTransformation
class  QuantLib::detail::SABRInterpolationImpl< I1, I2 >::SabrParametersTransformationWithFixedBeta
class  QuantLib::detail::SABRInterpolationImpl< I1, I2 >::Transformation

Functions

Real QuantLib::sabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
Real QuantLib::unsafeSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)


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