QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
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 |
ZABR functions Reference: Andreasen, Huge: ZABR - Expansions for the masses, Preliminary Version, December 2011, http://ssrn.com/abstract=1980726.
Definition in file zabr.hpp.