QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Svi interpolation factory and traits More...
#include <sviinterpolation.hpp>
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_ |
Svi interpolation factory and traits
Definition at line 191 of file sviinterpolation.hpp.
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 , |
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ext::shared_ptr< EndCriteria > | endCriteria = ext::shared_ptr<EndCriteria>() , |
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ext::shared_ptr< OptimizationMethod > | optMethod = ext::shared_ptr<OptimizationMethod>() , |
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const Real | errorAccept = 0.0020 , |
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const bool | useMaxError = false , |
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const Size | maxGuesses = 50 |
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) |
Definition at line 193 of file sviinterpolation.hpp.
Interpolation interpolate | ( | const I1 & | xBegin, |
const I1 & | xEnd, | ||
const I2 & | yBegin | ||
) | const |
Definition at line 217 of file sviinterpolation.hpp.
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Definition at line 225 of file sviinterpolation.hpp.
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Definition at line 228 of file sviinterpolation.hpp.
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Definition at line 229 of file sviinterpolation.hpp.
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Definition at line 230 of file sviinterpolation.hpp.
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Definition at line 230 of file sviinterpolation.hpp.
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Definition at line 230 of file sviinterpolation.hpp.
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Definition at line 230 of file sviinterpolation.hpp.
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Definition at line 230 of file sviinterpolation.hpp.
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Definition at line 231 of file sviinterpolation.hpp.
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Definition at line 231 of file sviinterpolation.hpp.
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Definition at line 231 of file sviinterpolation.hpp.
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Definition at line 231 of file sviinterpolation.hpp.
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Definition at line 231 of file sviinterpolation.hpp.
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Definition at line 232 of file sviinterpolation.hpp.
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Definition at line 233 of file sviinterpolation.hpp.
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Definition at line 234 of file sviinterpolation.hpp.
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Definition at line 235 of file sviinterpolation.hpp.
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Definition at line 236 of file sviinterpolation.hpp.
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Definition at line 237 of file sviinterpolation.hpp.