QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Static Public Attributes | Private Attributes | List of all members
Zabr< Evaluation > Class Template Reference

no arbtrage sabr interpolation factory and traits More...

#include <zabrinterpolation.hpp>

+ Collaboration diagram for Zabr< Evaluation >:

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< EndCriteriaendCriteria_
 
const ext::shared_ptr< OptimizationMethodoptMethod_
 
const Real errorAccept_
 
const bool useMaxError_
 
const Size maxGuesses_
 

Detailed Description

template<class Evaluation>
class QuantLib::Zabr< Evaluation >

no arbtrage sabr interpolation factory and traits

Definition at line 168 of file zabrinterpolation.hpp.

Constructor & Destructor Documentation

◆ Zabr()

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.

Member Function Documentation

◆ interpolate()

Interpolation interpolate ( const I1 &  xBegin,
const I1 &  xEnd,
const I2 &  yBegin 
) const

Definition at line 194 of file zabrinterpolation.hpp.

Member Data Documentation

◆ global

const bool global = true
static

Definition at line 202 of file zabrinterpolation.hpp.

◆ t_

Time t_
private

Definition at line 205 of file zabrinterpolation.hpp.

◆ forward_

Real forward_
private

Definition at line 206 of file zabrinterpolation.hpp.

◆ alpha_

Real alpha_
private

Definition at line 207 of file zabrinterpolation.hpp.

◆ beta_

Real beta_
private

Definition at line 207 of file zabrinterpolation.hpp.

◆ nu_

Real nu_
private

Definition at line 207 of file zabrinterpolation.hpp.

◆ rho_

Real rho_
private

Definition at line 207 of file zabrinterpolation.hpp.

◆ gamma_

Real gamma_
private

Definition at line 207 of file zabrinterpolation.hpp.

◆ alphaIsFixed_

bool alphaIsFixed_
private

Definition at line 208 of file zabrinterpolation.hpp.

◆ betaIsFixed_

bool betaIsFixed_
private

Definition at line 208 of file zabrinterpolation.hpp.

◆ nuIsFixed_

bool nuIsFixed_
private

Definition at line 208 of file zabrinterpolation.hpp.

◆ rhoIsFixed_

bool rhoIsFixed_
private

Definition at line 208 of file zabrinterpolation.hpp.

◆ gammaIsFixed_

bool gammaIsFixed_
private

Definition at line 208 of file zabrinterpolation.hpp.

◆ vegaWeighted_

bool vegaWeighted_
private

Definition at line 209 of file zabrinterpolation.hpp.

◆ endCriteria_

const ext::shared_ptr<EndCriteria> endCriteria_
private

Definition at line 210 of file zabrinterpolation.hpp.

◆ optMethod_

const ext::shared_ptr<OptimizationMethod> optMethod_
private

Definition at line 211 of file zabrinterpolation.hpp.

◆ errorAccept_

const Real errorAccept_
private

Definition at line 212 of file zabrinterpolation.hpp.

◆ useMaxError_

const bool useMaxError_
private

Definition at line 213 of file zabrinterpolation.hpp.

◆ maxGuesses_

const Size maxGuesses_
private

Definition at line 214 of file zabrinterpolation.hpp.