QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Static Public Attributes | Private Attributes | List of all members
Svi Class Reference

Svi interpolation factory and traits More...

#include <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< EndCriteriaendCriteria_
 
const ext::shared_ptr< OptimizationMethodoptMethod_
 
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.