QuantLib_VannaVolgaInterpolation man page

VannaVolgaInterpolation — Vanna Volga interpolation between discrete points

Synopsis

#include <ql/experimental/barrieroption/vannavolgainterpolation.hpp>

Inherits Interpolation.

Public Member Functions

template<class I1 , class I2 > VannaVolgaInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Time T)

Additional Inherited Members

Detailed Description

Vanna Volga interpolation between discrete points

Constructor & Destructor Documentation

VannaVolgaInterpolation (const I1 & xBegin, const I1 & xEnd, const I2 & yBegin, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Time T)

Precondition:

the $ x $ values must be sorted.

Author

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Referenced By

VannaVolgaInterpolation(3) is an alias of QuantLib_VannaVolgaInterpolation(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib