SABR interpolation factory and traits More...

#include <qle/models/normalsabrinterpolation.hpp>

Collaboration diagram for NormalSABR:

Public Member Functions
	NormalSABR (Time t, Real forward, Real alpha, Real nu, Real rho, bool alphaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=false, const QuantLib::ext::shared_ptr< EndCriteria > endCriteria=QuantLib::ext::shared_ptr< EndCriteria >(), const QuantLib::ext::shared_ptr< OptimizationMethod > optMethod=QuantLib::ext::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0002, 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

Private Attributes
Time	t_

Real	forward_

Real	alpha_

Real	nu_

Real	rho_

bool	alphaIsFixed_

bool	nuIsFixed_

bool	rhoIsFixed_

bool	vegaWeighted_

const QuantLib::ext::shared_ptr< EndCriteria >	endCriteria_

const QuantLib::ext::shared_ptr< OptimizationMethod >	optMethod_

const Real	errorAccept_

const bool	useMaxError_

const Size	maxGuesses_

Detailed Description

SABR interpolation factory and traits

Definition at line 155 of file normalsabrinterpolation.hpp.

Constructor & Destructor Documentation

◆ NormalSABR()

NormalSABR	(	Time	t,
		Real	forward,
		Real	alpha,
		Real	nu,
		Real	rho,
		bool	alphaIsFixed,
		bool	nuIsFixed,
		bool	rhoIsFixed,
		bool	vegaWeighted = `false`,
		const QuantLib::ext::shared_ptr< EndCriteria >	endCriteria = `QuantLib::ext::shared_ptr<EndCriteria>()`,
		const QuantLib::ext::shared_ptr< OptimizationMethod >	optMethod = `QuantLib::ext::shared_ptr<OptimizationMethod>()`,
		const Real	errorAccept = `0.0002`,
		const bool	useMaxError = `false`,
		const Size	maxGuesses = `50`
	)

Definition at line 157 of file normalsabrinterpolation.hpp.

        : t_(t), forward_(forward), alpha_(alpha), nu_(nu), rho_(rho), alphaIsFixed_(alphaIsFixed),
          nuIsFixed_(nuIsFixed), rhoIsFixed_(rhoIsFixed), vegaWeighted_(vegaWeighted), endCriteria_(endCriteria),
          optMethod_(optMethod), errorAccept_(errorAccept), useMaxError_(useMaxError), maxGuesses_(maxGuesses) {}

Member Function Documentation

◆ interpolate()

Interpolation interpolate	(	const I1 &	xBegin,
		const I1 &	xEnd,
		const I2 &	yBegin
	)		const

Definition at line 165 of file normalsabrinterpolation.hpp.

                                                                                                                      {
        return SABRInterpolation(xBegin, xEnd, yBegin, t_, forward_, alpha_, nu_, rho_, alphaIsFixed_, nuIsFixed_,
                                 rhoIsFixed_, vegaWeighted_, endCriteria_, optMethod_, errorAccept_, useMaxError_,
                                 maxGuesses_);
    }