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

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Referenced By

The man page SviInterpolation(3) is an alias of QuantLib_SviInterpolation(3).

Wed Aug 2 2017 Version 1.10 QuantLib