VannaVolga Class Reference

VannaVolga-interpolation factory and traits More...

#include <ql/experimental/barrieroption/vannavolgainterpolation.hpp>

Collaboration diagram for VannaVolga:

Public Member Functions
	VannaVolga (Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Time T)
template<class I1 , class I2 >
Interpolation	interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const

Static Public Attributes
static const Size	requiredPoints = 3

Private Attributes
Real	spot_
DiscountFactor	dDiscount_
DiscountFactor	fDiscount_
Time	T_

Detailed Description

VannaVolga-interpolation factory and traits

Definition at line 58 of file vannavolgainterpolation.hpp.

Constructor & Destructor Documentation

VannaVolga()

VannaVolga	(	Real	spot,
		DiscountFactor	dDiscount,
		DiscountFactor	fDiscount,
		Time	T
	)

Definition at line 60 of file vannavolgainterpolation.hpp.

Member Function Documentation

interpolate()

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

Definition at line 67 of file vannavolgainterpolation.hpp.

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Member Data Documentation

requiredPoints

const Size requiredPoints = 3

static

Definition at line 71 of file vannavolgainterpolation.hpp.

spot_

Real spot_

private

Definition at line 73 of file vannavolgainterpolation.hpp.

dDiscount_

DiscountFactor dDiscount_

private

Definition at line 74 of file vannavolgainterpolation.hpp.

fDiscount_

DiscountFactor fDiscount_

private

Definition at line 75 of file vannavolgainterpolation.hpp.

T_

Time T_

private

Definition at line 76 of file vannavolgainterpolation.hpp.