QuantLib_ZabrInterpolation man page

ZabrInterpolation< Evaluation > — zabr smile interpolation between discrete volatility points.  

Synopsis

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

Inherits Interpolation.

Public Member Functions

template<class I1 , class I2 > ZabrInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, Real gamma, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool gammaIsFixed, 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 alpha () const
Real beta () const
Real nu () const
Real rho () const
Real gamma () const
Real rmsError () const
Real maxError () const
const std::vector< Real > & interpolationWeights () const
EndCriteria::Type endCriteria ()

Additional Inherited Members

Detailed Description

template<class Evaluation>

class QuantLib::ZabrInterpolation< Evaluation >" zabr smile interpolation between discrete volatility points.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ZabrInterpolation(3) is an alias of QuantLib_ZabrInterpolation(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib