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
The man page VannaVolgaInterpolation(3) is an alias of QuantLib_VannaVolgaInterpolation(3).
Wed Feb 7 2018 Version 1.10.1 QuantLib