QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <zabrinterpolation.hpp>
Public Types | |
typedef ZabrSmileSection< Evaluation > | type |
Public Member Functions | |
Size | dimension () |
Real | eps () |
void | defaultValues (std::vector< Real > ¶ms, std::vector< bool > ¶mIsFixed, const Real &forward, const Real expiryTime, const std::vector< Real > &addParams) |
void | guess (Array &values, const std::vector< bool > ¶mIsFixed, 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 > ¶ms, const std::vector< Real > &addParams) |
Definition at line 35 of file zabrinterpolation.hpp.
typedef ZabrSmileSection<Evaluation> type |
Definition at line 109 of file zabrinterpolation.hpp.
Size dimension | ( | ) |
Definition at line 36 of file zabrinterpolation.hpp.
Real eps | ( | ) |
Definition at line 37 of file zabrinterpolation.hpp.
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.
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.
Real eps1 | ( | ) |
Real eps2 | ( | ) |
Real dilationFactor | ( | ) |
Definition at line 76 of file zabrinterpolation.hpp.