QuantLib_NoArbSabr man page

NoArbSabr — no arbtrage sabr interpolation factory and traits  

Synopsis

#include <ql/experimental/volatility/noarbsabrinterpolation.hpp>

Public Member Functions

NoArbSabr (Time t, 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 > optMethod=boost::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0020, const bool useMaxError=false, const Size maxGuesses=50)
template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const

Static Public Attributes

static const bool global = true

Detailed Description

no arbtrage sabr interpolation factory and traits

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page NoArbSabr(3) is an alias of QuantLib_NoArbSabr(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib