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

Vanna/Volga interpolation between discrete points. More...

#include <ql/math/interpolation.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <vector>

Go to the source code of this file.

Classes

class  VannaVolgaInterpolation
 Vanna Volga interpolation between discrete points More...
 
class  VannaVolga
 VannaVolga-interpolation factory and traits More...
 
class  VannaVolgaInterpolationImpl< I1, I2 >
 

Namespaces

namespace  QuantLib
 
namespace  QuantLib::detail
 

Detailed Description

Vanna/Volga interpolation between discrete points.

Definition in file vannavolgainterpolation.hpp.