ZabrSpecs< Evaluation > Struct Template Reference

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

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Public Types
typedef ZabrSmileSection< Evaluation >	type

Public Member Functions
Size	dimension ()
Real	eps ()
void	defaultValues (std::vector< Real > &params, std::vector< bool > &paramIsFixed, const Real &forward, const Real expiryTime, const std::vector< Real > &addParams)
void	guess (Array &values, const std::vector< bool > &paramIsFixed, const Real &forward, const Real expiryTime, const std::vector< Real > &r, const std::vector< Real > &addParams)
Real	eps1 ()
Real	eps2 ()
Real	dilationFactor ()
Array	inverse (const Array &y, const std::vector< bool > &, const std::vector< Real > &, const Real)
Array	direct (const Array &x, const std::vector< bool > &, const std::vector< Real > &, const Real)
Real	weight (const Real strike, const Real forward, const Real stdDev, const std::vector< Real > &addParams)
ext::shared_ptr< type >	instance (const Time t, const Real &forward, const std::vector< Real > &params, const std::vector< Real > &addParams)

Detailed Description

template<typename Evaluation>
struct QuantLib::detail::ZabrSpecs< Evaluation >

Definition at line 35 of file zabrinterpolation.hpp.

Member Typedef Documentation

type

typedef ZabrSmileSection<Evaluation> type

Definition at line 109 of file zabrinterpolation.hpp.

Member Function Documentation

dimension()

Size dimension

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)

Definition at line 36 of file zabrinterpolation.hpp.

eps()

Real eps

(

)

Definition at line 37 of file zabrinterpolation.hpp.

defaultValues()

void defaultValues	(	std::vector< Real > &	params,
		std::vector< bool > &	paramIsFixed,
		const Real &	forward,
		const Real	expiryTime,
		const std::vector< Real > &	addParams
	)

Definition at line 38 of file zabrinterpolation.hpp.

guess()

void guess	(	Array &	values,
		const std::vector< bool > &	paramIsFixed,
		const Real &	forward,
		const Real	expiryTime,
		const std::vector< Real > &	r,
		const std::vector< Real > &	addParams
	)

Definition at line 55 of file zabrinterpolation.hpp.

eps1()

Real eps1

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)

Definition at line 74 of file zabrinterpolation.hpp.

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eps2()

Real eps2

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)

Definition at line 75 of file zabrinterpolation.hpp.

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dilationFactor()

Real dilationFactor

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)

Definition at line 76 of file zabrinterpolation.hpp.

inverse()

Array inverse	(	const Array &	y,
		const std::vector< bool > &	,
		const std::vector< Real > &	,
		const	Real
	)

Definition at line 77 of file zabrinterpolation.hpp.

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direct()

Array direct	(	const Array &	x,
		const std::vector< bool > &	,
		const std::vector< Real > &	,
		const	Real
	)

Definition at line 88 of file zabrinterpolation.hpp.

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weight()

Real weight	(	const Real	strike,
		const Real	forward,
		const Real	stdDev,
		const std::vector< Real > &	addParams
	)

Definition at line 105 of file zabrinterpolation.hpp.

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instance()

ext::shared_ptr< type > instance	(	const Time	t,
		const Real &	forward,
		const std::vector< Real > &	params,
		const std::vector< Real > &	addParams
	)

Definition at line 110 of file zabrinterpolation.hpp.