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) |