QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
no arbtrage sabr interpolation factory and traits More...
#include <zabrinterpolation.hpp>
Public Member Functions | |
Zabr (Time t, Real forward, Real alpha, Real beta, Real nu, Real rho, Real gamma, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool gammaIsFixed, bool vegaWeighted=false, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), ext::shared_ptr< OptimizationMethod > optMethod=ext::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0020, const bool useMaxError=false, const Size maxGuesses=50) | |
template<class I1 , class I2 > | |
Interpolation | interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const |
Static Public Attributes | |
static const bool | global = true |
Private Attributes | |
Time | t_ |
Real | forward_ |
Real | alpha_ |
Real | beta_ |
Real | nu_ |
Real | rho_ |
Real | gamma_ |
bool | alphaIsFixed_ |
bool | betaIsFixed_ |
bool | nuIsFixed_ |
bool | rhoIsFixed_ |
bool | gammaIsFixed_ |
bool | vegaWeighted_ |
const ext::shared_ptr< EndCriteria > | endCriteria_ |
const ext::shared_ptr< OptimizationMethod > | optMethod_ |
const Real | errorAccept_ |
const bool | useMaxError_ |
const Size | maxGuesses_ |
no arbtrage sabr interpolation factory and traits
Definition at line 168 of file zabrinterpolation.hpp.
Zabr | ( | Time | t, |
Real | forward, | ||
Real | alpha, | ||
Real | beta, | ||
Real | nu, | ||
Real | rho, | ||
Real | gamma, | ||
bool | alphaIsFixed, | ||
bool | betaIsFixed, | ||
bool | nuIsFixed, | ||
bool | rhoIsFixed, | ||
bool | gammaIsFixed, | ||
bool | vegaWeighted = false , |
||
ext::shared_ptr< EndCriteria > | endCriteria = ext::shared_ptr<EndCriteria>() , |
||
ext::shared_ptr< OptimizationMethod > | optMethod = ext::shared_ptr<OptimizationMethod>() , |
||
const Real | errorAccept = 0.0020 , |
||
const bool | useMaxError = false , |
||
const Size | maxGuesses = 50 |
||
) |
Definition at line 170 of file zabrinterpolation.hpp.
Interpolation interpolate | ( | const I1 & | xBegin, |
const I1 & | xEnd, | ||
const I2 & | yBegin | ||
) | const |
Definition at line 194 of file zabrinterpolation.hpp.
|
static |
Definition at line 202 of file zabrinterpolation.hpp.
|
private |
Definition at line 205 of file zabrinterpolation.hpp.
|
private |
Definition at line 206 of file zabrinterpolation.hpp.
|
private |
Definition at line 207 of file zabrinterpolation.hpp.
|
private |
Definition at line 207 of file zabrinterpolation.hpp.
|
private |
Definition at line 207 of file zabrinterpolation.hpp.
|
private |
Definition at line 207 of file zabrinterpolation.hpp.
|
private |
Definition at line 207 of file zabrinterpolation.hpp.
|
private |
Definition at line 208 of file zabrinterpolation.hpp.
|
private |
Definition at line 208 of file zabrinterpolation.hpp.
|
private |
Definition at line 208 of file zabrinterpolation.hpp.
|
private |
Definition at line 208 of file zabrinterpolation.hpp.
|
private |
Definition at line 208 of file zabrinterpolation.hpp.
|
private |
Definition at line 209 of file zabrinterpolation.hpp.
|
private |
Definition at line 210 of file zabrinterpolation.hpp.
|
private |
Definition at line 211 of file zabrinterpolation.hpp.
|
private |
Definition at line 212 of file zabrinterpolation.hpp.
|
private |
Definition at line 213 of file zabrinterpolation.hpp.
|
private |
Definition at line 214 of file zabrinterpolation.hpp.