QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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VannaVolga-interpolation factory and traits More...
#include <vannavolgainterpolation.hpp>
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_ |
VannaVolga-interpolation factory and traits
Definition at line 58 of file vannavolgainterpolation.hpp.
VannaVolga | ( | Real | spot, |
DiscountFactor | dDiscount, | ||
DiscountFactor | fDiscount, | ||
Time | T | ||
) |
Definition at line 60 of file vannavolgainterpolation.hpp.
Interpolation interpolate | ( | const I1 & | xBegin, |
const I1 & | xEnd, | ||
const I2 & | yBegin | ||
) | const |
Definition at line 67 of file vannavolgainterpolation.hpp.
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static |
Definition at line 71 of file vannavolgainterpolation.hpp.
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private |
Definition at line 73 of file vannavolgainterpolation.hpp.
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private |
Definition at line 74 of file vannavolgainterpolation.hpp.
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private |
Definition at line 75 of file vannavolgainterpolation.hpp.
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private |
Definition at line 76 of file vannavolgainterpolation.hpp.