QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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) |
Svi interpolation interpolation between discrete points.
Definition in file sviinterpolation.hpp.