QuantLib_Svi man page

Svi — Svi interpolation factory and traits


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

Public Member Functions

Svi (Time t, Real forward, Real a, Real b, Real sigma, Real rho, Real m, bool aIsFixed, bool bIsFixed, bool sigmaIsFixed, bool rhoIsFixed, bool mIsFixed, 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

Svi interpolation factory and traits


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

Svi(3) is an alias of QuantLib_Svi(3).

QuantLib Version 1.8.1 Fri Sep 23 2016