QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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svi interpolating smile section More...
#include <ql/handle.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/experimental/volatility/sviinterpolation.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
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Classes | |
class | SviInterpolatedSmileSection |
Namespaces | |
namespace | QuantLib |
svi interpolating smile section
Definition in file sviinterpolatedsmilesection.hpp.