QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Types | Public Member Functions | List of all members
ZabrSpecs< Evaluation > Struct Template Reference

#include <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< typeinstance (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 ( )

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 ( )

Definition at line 74 of file zabrinterpolation.hpp.

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◆ eps2()

Real eps2 ( )

Definition at line 75 of file zabrinterpolation.hpp.

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◆ dilationFactor()

Real dilationFactor ( )

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.