QuantLib_SABRInterpolation man page

SABRInterpolation — SABR smile interpolation between discrete volatility points.


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

Inherits Interpolation.

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=true, 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, const Real shift=0.0)

Real expiry () const

Real forward () const

Real alpha () const

Real beta () const

Real nu () const

Real rho () const

Real rmsError () const

Real maxError () const

const std::vector< Real > & interpolationWeights () const

EndCriteria::Type endCriteria ()

Additional Inherited Members

Detailed Description

SABR smile interpolation between discrete volatility points.


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Referenced By

SABRInterpolation(3) is an alias of QuantLib_SABRInterpolation(3).

QuantLib Version 1.8.1 Fri Sep 23 2016