QuantLib_Zabr man page

Zabr< Evaluation > — no arbtrage sabr interpolation factory and traits


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

Public Member Functions

Zabr (Time t, Real forward, Real alpha, Real beta, Real nu, Real rho, Real gamma, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool gammaIsFixed, 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

template<class Evaluation>

class QuantLib::Zabr< Evaluation >" no arbtrage sabr interpolation factory and traits


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Referenced By

Zabr(3) is an alias of QuantLib_Zabr(3).

QuantLib Version 1.8.1 Fri Sep 23 2016