ql/Math/sabrinterpolation.hpp File Reference


Detailed Description

SABR interpolation interpolation between discrete points.

#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>

Include dependency graph for sabrinterpolation.hpp:


Namespaces

namespace  QuantLib
namespace  QuantLib::detail

Classes

class  SABRInterpolation
 SABR smile interpolation between discrete volatility points. More...

Functions

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