NoArbSabrSpecs Struct Reference

#include <noarbsabrinterpolation.hpp>

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Public Types
typedef NoArbSabrWrapper	type

Public Member Functions
Size	dimension ()
Real	eps ()
void	defaultValues (std::vector< Real > &params, std::vector< bool > &paramIsFixed, const Real &forward, const Real expiryTime, const std::vector< Real > &addParams)
void	guess (Array &values, const std::vector< bool > &paramIsFixed, const Real &forward, const Real expiryTime, const std::vector< Real > &r, const std::vector< Real > &)
Array	inverse (const Array &y, const std::vector< bool > &paramIsFixed, const std::vector< Real > &params, const Real forward)
Array	direct (const Array &x, const std::vector< bool > &paramIsFixed, const std::vector< Real > &params, const Real forward)
Real	weight (const Real strike, const Real forward, const Real stdDev, const std::vector< Real > &addParams)
ext::shared_ptr< type >	instance (const Time t, const Real &forward, const std::vector< Real > &params, const std::vector< Real > &)

Detailed Description

Definition at line 38 of file noarbsabrinterpolation.hpp.

Member Typedef Documentation

type

typedef NoArbSabrWrapper type

Definition at line 184 of file noarbsabrinterpolation.hpp.

Member Function Documentation

dimension()

Size dimension

(

)

Definition at line 39 of file noarbsabrinterpolation.hpp.

eps()

Real eps

(

)

Definition at line 40 of file noarbsabrinterpolation.hpp.

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defaultValues()

void defaultValues	(	std::vector< Real > &	params,
		std::vector< bool > &	paramIsFixed,
		const Real &	forward,
		const Real	expiryTime,
		const std::vector< Real > &	addParams
	)

Definition at line 41 of file noarbsabrinterpolation.hpp.

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guess()

void guess	(	Array &	values,
		const std::vector< bool > &	paramIsFixed,
		const Real &	forward,
		const Real	expiryTime,
		const std::vector< Real > &	r,
		const std::vector< Real > &
	)

Definition at line 74 of file noarbsabrinterpolation.hpp.

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inverse()

Array inverse	(	const Array &	y,
		const std::vector< bool > &	paramIsFixed,
		const std::vector< Real > &	params,
		const Real	forward
	)

Definition at line 103 of file noarbsabrinterpolation.hpp.

direct()

Array direct	(	const Array &	x,
		const std::vector< bool > &	paramIsFixed,
		const std::vector< Real > &	params,
		const Real	forward
	)

Definition at line 129 of file noarbsabrinterpolation.hpp.

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weight()

Real weight	(	const Real	strike,
		const Real	forward,
		const Real	stdDev,
		const std::vector< Real > &	addParams
	)

Definition at line 180 of file noarbsabrinterpolation.hpp.

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instance()

ext::shared_ptr< type > instance	(	const Time	t,
		const Real &	forward,
		const std::vector< Real > &	params,
		const std::vector< Real > &
	)

Definition at line 185 of file noarbsabrinterpolation.hpp.