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
VannaVolga Class Reference

VannaVolga-interpolation factory and traits More...

#include <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.