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sabrinterpolation.hpp File Reference


Detailed Description

SABR interpolation interpolation between discrete points.

Definition in file sabrinterpolation.hpp.

#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>

Go to the source code of this file.

Namespaces

namespace  QuantLib
namespace  QuantLib::detail

Classes

class  QuantLib::SABR
 SABR interpolation factory and traits More...
class  QuantLib::detail::SABRCoeffHolder
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 >::SabrParametersTransformation


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