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fully annotated source code - version 1.34
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Public Member Functions | Private Member Functions | List of all members
SviInterpolation Class Reference

Svi smile interpolation between discrete volatility points. More...

#include <sviinterpolation.hpp>

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Public Member Functions

template<class I1 , class I2 >
 SviInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real a, Real b, Real sigma, Real rho, Real m, bool aIsFixed, bool bIsFixed, bool sigmaIsFixed, bool rhoIsFixed, bool mIsFixed, bool vegaWeighted=true, const ext::shared_ptr< EndCriteria > &endCriteria=ext::shared_ptr< EndCriteria >(), const ext::shared_ptr< OptimizationMethod > &optMethod=ext::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0020, const bool useMaxError=false, const Size maxGuesses=50)
 
Real expiry () const
 
Real forward () const
 
Real a () const
 
Real b () const
 
Real sigma () const
 
Real rho () const
 
Real m () const
 
Real rmsError () const
 
Real maxError () const
 
const std::vector< Real > & interpolationWeights () const
 
EndCriteria::Type endCriteria ()
 
- Public Member Functions inherited from Interpolation
 Interpolation ()=default
 
 ~Interpolation () override=default
 
bool empty () const
 
Real operator() (Real x, bool allowExtrapolation=false) const
 
Real primitive (Real x, bool allowExtrapolation=false) const
 
Real derivative (Real x, bool allowExtrapolation=false) const
 
Real secondDerivative (Real x, bool allowExtrapolation=false) const
 
Real xMin () const
 
Real xMax () const
 
bool isInRange (Real x) const
 
void update ()
 
- Public Member Functions inherited from Extrapolator
 Extrapolator ()=default
 
virtual ~Extrapolator ()=default
 
void enableExtrapolation (bool b=true)
 enable extrapolation in subsequent calls More...
 
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls More...
 
bool allowsExtrapolation () const
 tells whether extrapolation is enabled More...
 

Private Member Functions

const detail::XABRCoeffHolder< detail::SviSpecs > & coeffs () const
 

Additional Inherited Members

- Protected Member Functions inherited from Interpolation
void checkRange (Real x, bool extrapolate) const
 
- Protected Attributes inherited from Interpolation
ext::shared_ptr< Implimpl_
 

Detailed Description

Svi smile interpolation between discrete volatility points.

Definition at line 144 of file sviinterpolation.hpp.

Constructor & Destructor Documentation

◆ SviInterpolation()

SviInterpolation ( const I1 &  xBegin,
const I1 &  xEnd,
const I2 &  yBegin,
Time  t,
const Real forward,
Real  a,
Real  b,
Real  sigma,
Real  rho,
Real  m,
bool  aIsFixed,
bool  bIsFixed,
bool  sigmaIsFixed,
bool  rhoIsFixed,
bool  mIsFixed,
bool  vegaWeighted = true,
const ext::shared_ptr< EndCriteria > &  endCriteria = ext::shared_ptr<EndCriteria>(),
const ext::shared_ptr< OptimizationMethod > &  optMethod = ext::shared_ptr<OptimizationMethod>(),
const Real  errorAccept = 0.0020,
const bool  useMaxError = false,
const Size  maxGuesses = 50 
)

Definition at line 147 of file sviinterpolation.hpp.

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Member Function Documentation

◆ expiry()

Real expiry ( ) const

Definition at line 170 of file sviinterpolation.hpp.

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◆ forward()

Real forward ( ) const

Definition at line 171 of file sviinterpolation.hpp.

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◆ a()

Real a ( ) const

Definition at line 172 of file sviinterpolation.hpp.

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◆ b()

Real b ( ) const

Definition at line 173 of file sviinterpolation.hpp.

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◆ sigma()

Real sigma ( ) const

Definition at line 174 of file sviinterpolation.hpp.

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◆ rho()

Real rho ( ) const

Definition at line 175 of file sviinterpolation.hpp.

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◆ m()

Real m ( ) const

Definition at line 176 of file sviinterpolation.hpp.

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◆ rmsError()

Real rmsError ( ) const

Definition at line 177 of file sviinterpolation.hpp.

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◆ maxError()

Real maxError ( ) const

Definition at line 178 of file sviinterpolation.hpp.

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◆ interpolationWeights()

const std::vector< Real > & interpolationWeights ( ) const

Definition at line 179 of file sviinterpolation.hpp.

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◆ endCriteria()

EndCriteria::Type endCriteria ( )

Definition at line 182 of file sviinterpolation.hpp.

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◆ coeffs()

const detail::XABRCoeffHolder< detail::SviSpecs > & coeffs ( ) const
private

Definition at line 185 of file sviinterpolation.hpp.

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