QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Swaption volatility cube, fit-early-interpolate-later approach The provided types are SabrSwaptionVolatilityCube using the classic Hagan 2002 Sabr formula NoArbSabrSwaptionVolatilityCube using the No Arbitrage Sabr model (Doust) More...
#include <ql/math/interpolations/backwardflatlinearinterpolation.hpp>
#include <ql/math/interpolations/bilinearinterpolation.hpp>
#include <ql/math/interpolations/flatextrapolation2d.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/interpolations/sabrinterpolation.hpp>
#include <ql/math/matrix.hpp>
#include <ql/quote.hpp>
#include <ql/termstructures/volatility/sabrsmilesection.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>
#include <utility>
Go to the source code of this file.
Classes | |
class | XabrSwaptionVolatilityCube< Model > |
XABR Swaption Volatility Cube. More... | |
class | XabrSwaptionVolatilityCube< Model >::Cube |
class | XabrSwaptionVolatilityCube< Model >::PrivateObserver |
struct | SwaptionVolCubeSabrModel |
Swaption Volatility Cube SABR. More... | |
Namespaces | |
namespace | QuantLib |
Macros | |
#define | SWAPTIONVOLCUBE_VEGAWEIGHTED_TOL 15.0e-4 |
#define | SWAPTIONVOLCUBE_TOL 100.0e-4 |
Typedefs | |
typedef XabrSwaptionVolatilityCube< SwaptionVolCubeSabrModel > | SabrSwaptionVolatilityCube |
SABR volatility cube for swaptions. More... | |
Swaption volatility cube, fit-early-interpolate-later approach The provided types are SabrSwaptionVolatilityCube using the classic Hagan 2002 Sabr formula NoArbSabrSwaptionVolatilityCube using the No Arbitrage Sabr model (Doust)
Definition in file sabrswaptionvolatilitycube.hpp.
#define SWAPTIONVOLCUBE_VEGAWEIGHTED_TOL 15.0e-4 |
Definition at line 45 of file sabrswaptionvolatilitycube.hpp.
#define SWAPTIONVOLCUBE_TOL 100.0e-4 |
Definition at line 48 of file sabrswaptionvolatilitycube.hpp.