SABRInterpolation Class Reference

#include <ql/math/interpolations/sabrinterpolation.hpp>

Inheritance diagram for SABRInterpolation:

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List of all members.

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 ()