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

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...
 

Detailed Description

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.

Macro Definition Documentation

◆ SWAPTIONVOLCUBE_VEGAWEIGHTED_TOL

#define SWAPTIONVOLCUBE_VEGAWEIGHTED_TOL   15.0e-4

Definition at line 45 of file sabrswaptionvolatilitycube.hpp.

◆ SWAPTIONVOLCUBE_TOL

#define SWAPTIONVOLCUBE_TOL   100.0e-4

Definition at line 48 of file sabrswaptionvolatilitycube.hpp.