QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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SABR interpolation factory and traits More...
#include <sabrinterpolation.hpp>
Public Member Functions | |
SABR (Time t, Real forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, 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, const Real shift=0.0) | |
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 | alpha_ |
Real | beta_ |
Real | nu_ |
Real | rho_ |
bool | alphaIsFixed_ |
bool | betaIsFixed_ |
bool | nuIsFixed_ |
bool | rhoIsFixed_ |
bool | vegaWeighted_ |
const ext::shared_ptr< EndCriteria > | endCriteria_ |
const ext::shared_ptr< OptimizationMethod > | optMethod_ |
const Real | errorAccept_ |
const bool | useMaxError_ |
const Size | maxGuesses_ |
const Real | shift_ |
SABR interpolation factory and traits
Definition at line 198 of file sabrinterpolation.hpp.
SABR | ( | Time | t, |
Real | forward, | ||
Real | alpha, | ||
Real | beta, | ||
Real | nu, | ||
Real | rho, | ||
bool | alphaIsFixed, | ||
bool | betaIsFixed, | ||
bool | nuIsFixed, | ||
bool | rhoIsFixed, | ||
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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const Real | shift = 0.0 |
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Definition at line 200 of file sabrinterpolation.hpp.
Interpolation interpolate | ( | const I1 & | xBegin, |
const I1 & | xEnd, | ||
const I2 & | yBegin | ||
) | const |
Definition at line 223 of file sabrinterpolation.hpp.
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Definition at line 231 of file sabrinterpolation.hpp.
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Definition at line 234 of file sabrinterpolation.hpp.
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Definition at line 235 of file sabrinterpolation.hpp.
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Definition at line 236 of file sabrinterpolation.hpp.
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Definition at line 236 of file sabrinterpolation.hpp.
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Definition at line 236 of file sabrinterpolation.hpp.
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Definition at line 236 of file sabrinterpolation.hpp.
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Definition at line 237 of file sabrinterpolation.hpp.
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Definition at line 237 of file sabrinterpolation.hpp.
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Definition at line 237 of file sabrinterpolation.hpp.
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Definition at line 237 of file sabrinterpolation.hpp.
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Definition at line 238 of file sabrinterpolation.hpp.
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Definition at line 239 of file sabrinterpolation.hpp.
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Definition at line 240 of file sabrinterpolation.hpp.
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Definition at line 241 of file sabrinterpolation.hpp.
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Definition at line 242 of file sabrinterpolation.hpp.
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Definition at line 243 of file sabrinterpolation.hpp.
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Definition at line 244 of file sabrinterpolation.hpp.