A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
|
zabr smile interpolation between discrete volatility points. More...
#include <ql/experimental/volatility/zabrinterpolation.hpp>
Inheritance diagram for ZabrInterpolation< Evaluation >:Public Member Functions | |
| template<class I1 , class I2 > | |
| ZabrInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, Real gamma, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool gammaIsFixed, bool vegaWeighted=true, const ext::shared_ptr< EndCriteria > &endCriteria=ext::shared_ptr< EndCriteria >(), const ext::shared_ptr< OptimizationMethod > &optMethod=ext::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0020, const bool useMaxError=false, const Size maxGuesses=50) | |
| Real | expiry () const |
| Real | forward () const |
| Real | alpha () const |
| Real | beta () const |
| Real | nu () const |
| Real | rho () const |
| Real | gamma () const |
| Real | rmsError () const |
| Real | maxError () const |
| const std::vector< Real > & | interpolationWeights () const |
| EndCriteria::Type | endCriteria () |
| Public Member Functions inherited from Interpolation | |
| bool | empty () const |
| Real | operator() (Real x, bool allowExtrapolation=false) const |
| Real | primitive (Real x, bool allowExtrapolation=false) const |
| Real | derivative (Real x, bool allowExtrapolation=false) const |
| Real | secondDerivative (Real x, bool allowExtrapolation=false) const |
| Real | xMin () const |
| Real | xMax () const |
| bool | isInRange (Real x) const |
| void | update () |
| Public Member Functions inherited from Extrapolator | |
| void | enableExtrapolation (bool b=true) |
| enable extrapolation in subsequent calls | |
| void | disableExtrapolation (bool b=true) |
| disable extrapolation in subsequent calls | |
| bool | allowsExtrapolation () const |
| tells whether extrapolation is enabled | |
Additional Inherited Members | |
| Public Types inherited from Interpolation | |
| typedef Real | argument_type |
| typedef Real | result_type |
| Protected Member Functions inherited from Interpolation | |
| void | checkRange (Real x, bool extrapolate) const |
| Protected Attributes inherited from Interpolation | |
| ext::shared_ptr< Impl > | impl_ |
zabr smile interpolation between discrete volatility points.
