carrmadanarbitragecheck.hpp File Reference

arbitrage checks based on Carr, Madan, A note on sufficient conditions for no arbitrage (2005) More...

#include <ql/termstructures/volatility/volatilitytype.hpp>
#include <ql/types.hpp>
#include <string>
#include <vector>

Go to the source code of this file.

Classes
class	CarrMadanMarginalProbability
class	CarrMadanMarginalProbabilitySafeStrikes
class	CarrMadanSurface

Namespaces
namespace	QuantExt

Functions
template<class CarrMadanMarginalProbabilityClass >
std::string	arbitrageAsString (const CarrMadanMarginalProbabilityClass &cm)
std::string	arbitrageAsString (const CarrMadanSurface &cm)

Detailed Description

arbitrage checks based on Carr, Madan, A note on sufficient conditions for no arbitrage (2005)

Definition in file carrmadanarbitragecheck.hpp.