QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <noarbsabr.hpp>
Public Member Functions | |
D0Interpolator (Real forward, Real expiryTime, Real alpha, Real beta, Real nu, Real rho) | |
Real | operator() () const |
Private Member Functions | |
Real | phi (Real d0) const |
Real | d0 (Real phi) const |
Private Attributes | |
const Real | forward_ |
const Real | expiryTime_ |
const Real | alpha_ |
const Real | beta_ |
const Real | nu_ |
const Real | rho_ |
const Real | gamma_ |
Real | sigmaI_ |
std::vector< Real > | tauG_ |
std::vector< Real > | sigmaIG_ |
std::vector< Real > | rhoG_ |
std::vector< Real > | nuG_ |
std::vector< Real > | betaG_ |
Definition at line 140 of file noarbsabr.hpp.
Definition at line 186 of file noarbsabr.cpp.
Real operator() | ( | ) | const |
Definition at line 321 of file noarbsabr.cpp.
Definition at line 327 of file noarbsabr.cpp.
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private |
Definition at line 148 of file noarbsabr.hpp.
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private |
Definition at line 148 of file noarbsabr.hpp.
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private |
Definition at line 148 of file noarbsabr.hpp.
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private |
Definition at line 148 of file noarbsabr.hpp.
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private |
Definition at line 148 of file noarbsabr.hpp.
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private |
Definition at line 148 of file noarbsabr.hpp.
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private |
Definition at line 148 of file noarbsabr.hpp.
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private |
Definition at line 149 of file noarbsabr.hpp.
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private |
Definition at line 150 of file noarbsabr.hpp.
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private |
Definition at line 150 of file noarbsabr.hpp.
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private |
Definition at line 150 of file noarbsabr.hpp.
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private |
Definition at line 150 of file noarbsabr.hpp.
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private |
Definition at line 150 of file noarbsabr.hpp.