QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Member Functions | List of all members
ZabrInterpolation< Evaluation > Class Template Reference

zabr smile interpolation between discrete volatility points. More...

#include <ql/experimental/volatility/zabrinterpolation.hpp>

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Public Member Functions

template<class I1 , class I2 >
 ZabrInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, Real gamma, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool gammaIsFixed, bool vegaWeighted=true, const ext::shared_ptr< EndCriteria > &endCriteria=ext::shared_ptr< EndCriteria >(), const ext::shared_ptr< OptimizationMethod > &optMethod=ext::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0020, const bool useMaxError=false, const Size maxGuesses=50)
 
Real expiry () const
 
Real forward () const
 
Real alpha () const
 
Real beta () const
 
Real nu () const
 
Real rho () const
 
Real gamma () const
 
Real rmsError () const
 
Real maxError () const
 
const std::vector< Real > & interpolationWeights () const
 
EndCriteria::Type endCriteria ()
 
- Public Member Functions inherited from Interpolation
 Interpolation ()=default
 
 ~Interpolation () override=default
 
bool empty () const
 
Real operator() (Real x, bool allowExtrapolation=false) const
 
Real primitive (Real x, bool allowExtrapolation=false) const
 
Real derivative (Real x, bool allowExtrapolation=false) const
 
Real secondDerivative (Real x, bool allowExtrapolation=false) const
 
Real xMin () const
 
Real xMax () const
 
bool isInRange (Real x) const
 
void update ()
 
- Public Member Functions inherited from Extrapolator
 Extrapolator ()=default
 
virtual ~Extrapolator ()=default
 
void enableExtrapolation (bool b=true)
 enable extrapolation in subsequent calls More...
 
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls More...
 
bool allowsExtrapolation () const
 tells whether extrapolation is enabled More...
 

Private Member Functions

const detail::XABRCoeffHolder< detail::ZabrSpecs< Evaluation > > & coeffs () const
 

Additional Inherited Members

- Public Attributes inherited from Interpolation
QL_DEPRECATED typedef Real argument_type
 
QL_DEPRECATED typedef Real result_type
 
- Protected Member Functions inherited from Interpolation
void checkRange (Real x, bool extrapolate) const
 
- Protected Attributes inherited from Interpolation
ext::shared_ptr< Implimpl_
 

Detailed Description

template<class Evaluation>
class QuantLib::ZabrInterpolation< Evaluation >

zabr smile interpolation between discrete volatility points.

Definition at line 120 of file zabrinterpolation.hpp.

Constructor & Destructor Documentation

◆ ZabrInterpolation()

ZabrInterpolation ( const I1 &  xBegin,
const I1 &  xEnd,
const I2 &  yBegin,
Time  t,
const Real forward,
Real  alpha,
Real  beta,
Real  nu,
Real  rho,
Real  gamma,
bool  alphaIsFixed,
bool  betaIsFixed,
bool  nuIsFixed,
bool  rhoIsFixed,
bool  gammaIsFixed,
bool  vegaWeighted = true,
const ext::shared_ptr< EndCriteria > &  endCriteria = ext::shared_ptr<EndCriteria>(),
const 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 123 of file zabrinterpolation.hpp.

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Member Function Documentation

◆ expiry()

Real expiry ( ) const

Definition at line 147 of file zabrinterpolation.hpp.

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◆ forward()

Real forward ( ) const

Definition at line 148 of file zabrinterpolation.hpp.

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◆ alpha()

Real alpha ( ) const

Definition at line 149 of file zabrinterpolation.hpp.

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◆ beta()

Real beta ( ) const

Definition at line 150 of file zabrinterpolation.hpp.

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◆ nu()

Real nu ( ) const

Definition at line 151 of file zabrinterpolation.hpp.

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◆ rho()

Real rho ( ) const

Definition at line 152 of file zabrinterpolation.hpp.

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◆ gamma()

Real gamma ( ) const

Definition at line 153 of file zabrinterpolation.hpp.

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◆ rmsError()

Real rmsError ( ) const

Definition at line 154 of file zabrinterpolation.hpp.

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◆ maxError()

Real maxError ( ) const

Definition at line 155 of file zabrinterpolation.hpp.

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◆ interpolationWeights()

const std::vector< Real > & interpolationWeights ( ) const

Definition at line 156 of file zabrinterpolation.hpp.

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◆ endCriteria()

EndCriteria::Type endCriteria ( )

Definition at line 159 of file zabrinterpolation.hpp.

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◆ coeffs()

const detail::XABRCoeffHolder< detail::ZabrSpecs< Evaluation > > & coeffs ( ) const
private

Definition at line 162 of file zabrinterpolation.hpp.

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