Swaption Volatility Cube SABR. More...
#include <sabrswaptionvolatilitycube.hpp>
Collaboration diagram for SwaptionVolCubeSabrModel:
Public Types | |
| typedef SABRInterpolation | Interpolation |
| typedef SabrSmileSection | SmileSection |
Detailed Description
Swaption Volatility Cube SABR.
This struct defines the types used by SABR Volatility cubes for interpolation (SABRInterpolation) and for modeling the smile (SabrSmileSection).
Definition at line 1169 of file sabrswaptionvolatilitycube.hpp.
Member Typedef Documentation
◆ Interpolation
| typedef SABRInterpolation Interpolation |
Definition at line 1170 of file sabrswaptionvolatilitycube.hpp.
◆ SmileSection
| typedef SabrSmileSection SmileSection |
Definition at line 1171 of file sabrswaptionvolatilitycube.hpp.