D0Interpolator Class Reference

#include <ql/experimental/volatility/noarbsabr.hpp>

Collaboration diagram for D0Interpolator:

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_

Detailed Description

Definition at line 140 of file noarbsabr.hpp.

Constructor & Destructor Documentation

D0Interpolator()

D0Interpolator	(	Real	forward,
		Real	expiryTime,
		Real	alpha,
		Real	beta,
		Real	nu,
		Real	rho
	)

Definition at line 186 of file noarbsabr.cpp.

Member Function Documentation

operator()()

Real operator()

(

)

const

Definition at line 220 of file noarbsabr.cpp.

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phi()

Real phi ( Real  d0 ) const

private

Definition at line 321 of file noarbsabr.cpp.

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d0()

Real d0 ( Real  phi ) const

private

Definition at line 327 of file noarbsabr.cpp.

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Member Data Documentation

forward_

const Real forward_

private

Definition at line 148 of file noarbsabr.hpp.

expiryTime_

const Real expiryTime_

private

Definition at line 148 of file noarbsabr.hpp.

alpha_

const Real alpha_

private

Definition at line 148 of file noarbsabr.hpp.

beta_

const Real beta_

private

Definition at line 148 of file noarbsabr.hpp.

nu_

const Real nu_

private

Definition at line 148 of file noarbsabr.hpp.

rho_

const Real rho_

private

Definition at line 148 of file noarbsabr.hpp.

gamma_

const Real gamma_

private

Definition at line 148 of file noarbsabr.hpp.

sigmaI_

Real sigmaI_

private

Definition at line 149 of file noarbsabr.hpp.

tauG_

std::vector<Real> tauG_

private

Definition at line 150 of file noarbsabr.hpp.

sigmaIG_

std::vector<Real> sigmaIG_

private

Definition at line 150 of file noarbsabr.hpp.

rhoG_

std::vector<Real> rhoG_

private

Definition at line 150 of file noarbsabr.hpp.

nuG_

std::vector<Real> nuG_

private

Definition at line 150 of file noarbsabr.hpp.

betaG_

std::vector<Real> betaG_

private

Definition at line 150 of file noarbsabr.hpp.