xabrinterpolation.hpp File Reference

generic interpolation class for sabr style underlying models like the Hagan 2002 expansion, Doust's no arbitrage sabr, Andreasen's zabr expansion for the masses and similar More...

#include <ql/math/interpolation.hpp>
#include <ql/math/optimization/constraint.hpp>
#include <ql/math/optimization/levenbergmarquardt.hpp>
#include <ql/math/optimization/method.hpp>
#include <ql/math/optimization/projectedcostfunction.hpp>
#include <ql/math/optimization/simplex.hpp>
#include <ql/math/randomnumbers/haltonrsg.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/termstructures/volatility/volatilitytype.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/utilities/null.hpp>
#include <utility>

Go to the source code of this file.

Classes
class	XABRCoeffHolder< Model >
class	XABRInterpolationImpl< I1, I2, Model >
class	XABRInterpolationImpl< I1, I2, Model >::XABRError

Namespaces
namespace	QuantLib
namespace	QuantLib::detail

Detailed Description

generic interpolation class for sabr style underlying models like the Hagan 2002 expansion, Doust's no arbitrage sabr, Andreasen's zabr expansion for the masses and similar

Definition in file xabrinterpolation.hpp.