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fully annotated source code - version 1.34
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volatility Directory Reference

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