Svi Class Reference

Svi interpolation factory and traits More...

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

Collaboration diagram for Svi:

Public Member Functions
	Svi (Time t, Real forward, Real a, Real b, Real sigma, Real rho, Real m, bool aIsFixed, bool bIsFixed, bool sigmaIsFixed, bool rhoIsFixed, bool mIsFixed, bool vegaWeighted=false, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), ext::shared_ptr< OptimizationMethod > optMethod=ext::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0020, 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	a_
Real	b_
Real	sigma_
Real	rho_
Real	m_
bool	aIsFixed_
bool	bIsFixed_
bool	sigmaIsFixed_
bool	rhoIsFixed_
bool	mIsFixed_
bool	vegaWeighted_
const ext::shared_ptr< EndCriteria >	endCriteria_
const ext::shared_ptr< OptimizationMethod >	optMethod_
const Real	errorAccept_
const bool	useMaxError_
const Size	maxGuesses_

Detailed Description

Svi interpolation factory and traits

Definition at line 191 of file sviinterpolation.hpp.

Constructor & Destructor Documentation

Svi()

Svi	(	Time	t,
		Real	forward,
		Real	a,
		Real	b,
		Real	sigma,
		Real	rho,
		Real	m,
		bool	aIsFixed,
		bool	bIsFixed,
		bool	sigmaIsFixed,
		bool	rhoIsFixed,
		bool	mIsFixed,
		bool	vegaWeighted = false,
		ext::shared_ptr< EndCriteria >	endCriteria = ext::shared_ptr<EndCriteria>(),
		ext::shared_ptr< OptimizationMethod >	optMethod = ext::shared_ptr<OptimizationMethod>(),
		const Real	errorAccept = 0.0020,
		const bool	useMaxError = false,
		const Size	maxGuesses = 50
	)

Definition at line 193 of file sviinterpolation.hpp.

Member Function Documentation

interpolate()

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

Definition at line 217 of file sviinterpolation.hpp.

Member Data Documentation

global

const bool global = true

static

Definition at line 225 of file sviinterpolation.hpp.

t_

Time t_

private

Definition at line 228 of file sviinterpolation.hpp.

forward_

Real forward_

private

Definition at line 229 of file sviinterpolation.hpp.

a_

Real a_

private

Definition at line 230 of file sviinterpolation.hpp.

b_

Real b_

private

Definition at line 230 of file sviinterpolation.hpp.

sigma_

Real sigma_

private

Definition at line 230 of file sviinterpolation.hpp.

rho_

Real rho_

private

Definition at line 230 of file sviinterpolation.hpp.

m_

Real m_

private

Definition at line 230 of file sviinterpolation.hpp.

aIsFixed_

bool aIsFixed_

private

Definition at line 231 of file sviinterpolation.hpp.

bIsFixed_

bool bIsFixed_

private

Definition at line 231 of file sviinterpolation.hpp.

sigmaIsFixed_

bool sigmaIsFixed_

private

Definition at line 231 of file sviinterpolation.hpp.

rhoIsFixed_

bool rhoIsFixed_

private

Definition at line 231 of file sviinterpolation.hpp.

mIsFixed_

bool mIsFixed_

private

Definition at line 231 of file sviinterpolation.hpp.

vegaWeighted_

bool vegaWeighted_

private

Definition at line 232 of file sviinterpolation.hpp.

endCriteria_

const ext::shared_ptr<EndCriteria> endCriteria_

private

Definition at line 233 of file sviinterpolation.hpp.

optMethod_

const ext::shared_ptr<OptimizationMethod> optMethod_

private

Definition at line 234 of file sviinterpolation.hpp.

errorAccept_

const Real errorAccept_

private

Definition at line 235 of file sviinterpolation.hpp.

useMaxError_

const bool useMaxError_

private

Definition at line 236 of file sviinterpolation.hpp.

maxGuesses_

const Size maxGuesses_

private

Definition at line 237 of file sviinterpolation.hpp.