QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Namespaces | Functions
flatvol.cpp File Reference
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/matrixutilities/pseudosqrt.hpp>
#include <ql/models/marketmodels/correlations/expcorrelations.hpp>
#include <ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.hpp>
#include <ql/models/marketmodels/models/flatvol.hpp>
#include <ql/models/marketmodels/piecewiseconstantcorrelation.hpp>
#include <utility>

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Namespaces

namespace  QuantLib
 

Functions

Real flatVolCovariance (Time t1, Time t2, Time T, Time S, Volatility v1, Volatility v2)