QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Files | |
file | abcdatmvolcurve.cpp [code] |
file | abcdatmvolcurve.hpp [code] |
Abcd-interpolated at-the-money (no-smile) interest rate vol curve. | |
file | blackatmvolcurve.cpp [code] |
file | blackatmvolcurve.hpp [code] |
Black at-the-money (no-smile) volatility curve base class. | |
file | blackvolsurface.cpp [code] |
file | blackvolsurface.hpp [code] |
Black volatility (smile) surface. | |
file | equityfxvolsurface.cpp [code] |
file | equityfxvolsurface.hpp [code] |
Equity/FX vol (smile) surface. | |
file | extendedblackvariancecurve.cpp [code] |
file | extendedblackvariancecurve.hpp [code] |
Black volatility curve modelled as variance curve. | |
file | extendedblackvariancesurface.cpp [code] |
file | extendedblackvariancesurface.hpp [code] |
Black volatility surface modelled as variance surface. | |
file | interestratevolsurface.cpp [code] |
file | interestratevolsurface.hpp [code] |
Interest rate volatility (smile) surface. | |
file | noarbsabr.cpp [code] |
file | noarbsabr.hpp [code] |
No-arbitrage SABR. | |
file | noarbsabrabsprobs.cpp [code] |
Absorbtion probabilities in the SABR model This file is to be included from noarbsabr.cpp only The numbers are taken from http://cid-45980dfcc6f0d6c9.skydrive.live.com/self.aspx/.Public/AbsProbs.csv For the paper reference see noarbsabr.hpp. | |
file | noarbsabrinterpolatedsmilesection.cpp [code] |
file | noarbsabrinterpolatedsmilesection.hpp [code] |
noarb sabr interpolating smile section | |
file | noarbsabrinterpolation.hpp [code] |
noabr sabr interpolation between discrete points | |
file | noarbsabrsmilesection.cpp [code] |
file | noarbsabrsmilesection.hpp [code] |
no arbitrage sabr smile section | |
file | noarbsabrswaptionvolatilitycube.hpp [code] |
Swaption volatility cube, fit-early-interpolate-later approach using the No Arbitrage Sabr model (Doust) | |
file | sabrvolsurface.cpp [code] |
file | sabrvolsurface.hpp [code] |
SABR volatility (smile) surface. | |
file | sabrvoltermstructure.hpp [code] |
implied vol surface backed by a SABR model | |
file | sviinterpolatedsmilesection.cpp [code] |
file | sviinterpolatedsmilesection.hpp [code] |
svi interpolating smile section | |
file | sviinterpolation.hpp [code] |
Svi interpolation interpolation between discrete points. | |
file | svismilesection.cpp [code] |
file | svismilesection.hpp [code] |
svi smile section | |
file | volcube.cpp [code] |
file | volcube.hpp [code] |
Interest rate (optionlet/swaption) volatility cube. | |
file | zabr.cpp [code] |
file | zabr.hpp [code] |
ZABR functions Reference: Andreasen, Huge: ZABR - Expansions for the masses, Preliminary Version, December 2011, http://ssrn.com/abstract=1980726. | |
file | zabrinterpolatedsmilesection.hpp [code] |
zabr interpolating smile section | |
file | zabrinterpolation.hpp [code] |
ZABR interpolation interpolation between discrete points. | |
file | zabrsmilesection.hpp [code] |
zabr smile section | |