QuantLib_SviInterpolation man page

SviInterpolation — Svi smile interpolation between discrete volatility points.

Synopsis

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

Inherits Interpolation.

Public Member Functions

template<class I1 , class I2 > SviInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real a, Real b, Real sigma, Real rho, Real m, bool aIsFixed, bool bIsFixed, bool sigmaIsFixed, bool rhoIsFixed, bool mIsFixed, 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)

Real expiry () const

Real forward () const

Real a () const

Real b () const

Real sigma () const

Real rho () const

Real m () const

Real rmsError () const

Real maxError () const

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

EndCriteria::Type endCriteria ()

Additional Inherited Members

Detailed Description

Svi smile interpolation between discrete volatility points.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

SviInterpolation(3) is an alias of QuantLib_SviInterpolation(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib