SABRInterpolation Class Reference
#include <ql/math/interpolations/sabrinterpolation.hpp>
Inheritance diagram for SABRInterpolation:

Detailed Description
SABR smile interpolation between discrete volatility points.
Public Member Functions | |
template<class I1, class I2> | |
SABRInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=false, const boost::shared_ptr< EndCriteria > &endCriteria=boost::shared_ptr< EndCriteria >(), const boost::shared_ptr< OptimizationMethod > &method=boost::shared_ptr< OptimizationMethod >()) | |
Real | expiry () const |
Real | forward () const |
Real | alpha () const |
Real | beta () const |
Real | nu () const |
Real | rho () const |
Real | interpolationError () const |
Real | interpolationMaxError () const |
EndCriteria::Type | endCriteria () |