volatility Directory Reference

Files
file	abcdatmvolcurve.hpp
	Abcd-interpolated at-the-money (no-smile) interest rate vol curve.
file	blackatmvolcurve.hpp
	Black at-the-money (no-smile) volatility curve base class.
file	blackvolsurface.hpp
	Black volatility (smile) surface.
file	equityfxvolsurface.hpp
	Equity/FX vol (smile) surface.
file	extendedblackvariancecurve.hpp
	Black volatility curve modelled as variance curve.
file	extendedblackvariancesurface.hpp
	Black volatility surface modelled as variance surface.
file	interestratevolsurface.hpp
	Interest rate volatility (smile) surface.
file	noarbsabr.hpp
	No-arbitrage SABR.
file	noarbsabrinterpolatedsmilesection.hpp
	noarb sabr interpolating smile section
file	noarbsabrinterpolation.hpp
	noabr sabr interpolation between discrete points
file	noarbsabrsmilesection.hpp
	no arbitrage sabr smile section
file	sabrvolsurface.hpp
	SABR volatility (smile) surface.
file	sabrvoltermstructure.hpp
	implied vol surface backed by a SABR model
file	sviinterpolatedsmilesection.hpp
	svi interpolating smile section
file	sviinterpolation.hpp
	Svi interpolation interpolation between discrete points.
file	svismilesection.hpp
	svi smile section
file	swaptionvolcube1a.hpp
	Swaption volatility cube, fit-early-interpolate-later approach using the No Arbitrage Sabr model (Doust)
file	volcube.hpp
	Interest rate (optionlet/swaption) volatility cube.
file	zabr.hpp
	ZABR functions Reference: Andreasen, Huge: ZABR - Expansions for the masses, Preliminary Version, December 2011, http://ssrn.com/abstract=1980726.
file	zabrinterpolatedsmilesection.hpp
	zabr interpolating smile section
file	zabrinterpolation.hpp
	ZABR interpolation interpolation between discrete points.
file	zabrsmilesection.hpp
	zabr smile section