QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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zabr.hpp File Reference

ZABR functions Reference: Andreasen, Huge: ZABR - Expansions for the masses, Preliminary Version, December 2011, http://ssrn.com/abstract=1980726. More...

#include <ql/types.hpp>
#include <ql/math/statistics/incrementalstatistics.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/interpolations/cubicinterpolation.hpp>
#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
#include <vector>

Go to the source code of this file.

Classes

class  ZabrModel
 

Namespaces

namespace  QuantLib
 

Detailed Description

ZABR functions Reference: Andreasen, Huge: ZABR - Expansions for the masses, Preliminary Version, December 2011, http://ssrn.com/abstract=1980726.

Definition in file zabr.hpp.