SABRWrapper Class Reference

#include <ql/math/interpolations/sabrinterpolation.hpp>

Collaboration diagram for SABRWrapper:

Public Member Functions
	SABRWrapper (const Time t, const Real &forward, const std::vector< Real > &params, const std::vector< Real > &addParams)
Real	volatility (const Real x, const VolatilityType volatilityType)

Private Attributes
const Real	t_
const Real &	forward_
const std::vector< Real > &	params_
const Real	shift_

Detailed Description

Definition at line 41 of file sabrinterpolation.hpp.

Constructor & Destructor Documentation

SABRWrapper()

SABRWrapper	(	const Time	t,
		const Real &	forward,
		const std::vector< Real > &	params,
		const std::vector< Real > &	addParams
	)

Definition at line 43 of file sabrinterpolation.hpp.

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Member Function Documentation

volatility()

Real volatility	(	const Real	x,
		const VolatilityType	volatilityType
	)

Definition at line 53 of file sabrinterpolation.hpp.

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Member Data Documentation

t_

const Real t_

private

Definition at line 59 of file sabrinterpolation.hpp.

forward_

const Real & forward_

private

Definition at line 59 of file sabrinterpolation.hpp.

params_

const std::vector<Real>& params_

private

Definition at line 60 of file sabrinterpolation.hpp.

shift_

const Real shift_

private

Definition at line 61 of file sabrinterpolation.hpp.