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

#include <ql/experimental/volatility/sviinterpolation.hpp>

Inheritance diagram for SviInterpolation:

Collaboration diagram for SviInterpolation:

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
Public Attributes inherited from Interpolation
QL_DEPRECATED typedef Real	argument_type

QL_DEPRECATED typedef Real	result_type

Protected Member Functions inherited from Interpolation
void	checkRange (Real x, bool extrapolate) const

Protected Attributes inherited from Interpolation
ext::shared_ptr< Impl >	impl_

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`
	)