QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces | Typedefs | Functions
sviinterpolation.hpp File Reference

Svi interpolation interpolation between discrete points. More...

#include <ql/experimental/volatility/svismilesection.hpp>
#include <ql/math/interpolations/xabrinterpolation.hpp>
#include <utility>

Go to the source code of this file.

Classes

struct  SviSpecs
 
class  SviInterpolation
 Svi smile interpolation between discrete volatility points. More...
 
class  Svi
 Svi interpolation factory and traits More...
 

Namespaces

namespace  QuantLib
 
namespace  QuantLib::detail
 

Typedefs

typedef SviSmileSection SviWrapper
 

Functions

void checkSviParameters (const Real a, const Real b, const Real sigma, const Real rho, const Real m, const Time tte)
 
Real sviTotalVariance (const Real a, const Real b, const Real sigma, const Real rho, const Real m, const Real k)
 

Detailed Description

Svi interpolation interpolation between discrete points.

Definition in file sviinterpolation.hpp.