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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_s_a_b_r_interpolation.html">SABRInterpolation</a></div>
<h1>SABRInterpolation Class Reference</h1><!-- doxytag: class="QuantLib::SABRInterpolation" --><!-- doxytag: inherits="QuantLib::Interpolation" --><code>#include <ql/math/interpolations/sabrinterpolation.hpp></code>
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Inheritance diagram for SABRInterpolation:</div>
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<p><center><img src="class_quant_lib_1_1_s_a_b_r_interpolation__inherit__graph.png" border="0" usemap="#_s_a_b_r_interpolation__inherit__map" alt="Inheritance graph"></center>
<map name="_s_a_b_r_interpolation__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_interpolation.html" title="base class for 1-D interpolations." alt="" coords="24,7,125,33"></map>
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<a href="class_quant_lib_1_1_s_a_b_r_interpolation-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
SABR smile interpolation between discrete volatility points. <table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memTemplParams" nowrap colspan="2"><a class="anchor" name="67ba79e368c7c2149b9007f0de93618c"></a><!-- doxytag: member="QuantLib::SABRInterpolation::SABRInterpolation" ref="67ba79e368c7c2149b9007f0de93618c" args="(const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=false, const boost::shared_ptr< EndCriteria > &endCriteria=boost::shared_ptr< EndCriteria >(), const boost::shared_ptr< OptimizationMethod > &optMethod=boost::shared_ptr< OptimizationMethod >())" -->
template<class I1, class I2> </td></tr>
<tr><td class="memTemplItemLeft" nowrap align="right" valign="top"> </td><td class="memTemplItemRight" valign="bottom"><b>SABRInterpolation</b> (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, const <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> &forward, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> alpha, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> beta, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> nu, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=false, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> > &endCriteria=boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> >(), const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> > &optMethod=boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> >())</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6f26ea87fa9cec3be05613ed6a61caed"></a><!-- doxytag: member="QuantLib::SABRInterpolation::expiry" ref="6f26ea87fa9cec3be05613ed6a61caed" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>expiry</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="db2a510fdff4d31015ee30cb417391aa"></a><!-- doxytag: member="QuantLib::SABRInterpolation::forward" ref="db2a510fdff4d31015ee30cb417391aa" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>forward</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8c237b56d8da22741f115e0afdea6b7c"></a><!-- doxytag: member="QuantLib::SABRInterpolation::alpha" ref="8c237b56d8da22741f115e0afdea6b7c" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>alpha</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="78a3f49ebd7612d4d23a640186b86140"></a><!-- doxytag: member="QuantLib::SABRInterpolation::beta" ref="78a3f49ebd7612d4d23a640186b86140" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>beta</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="69c12ede1099bb0263342867dd12e045"></a><!-- doxytag: member="QuantLib::SABRInterpolation::nu" ref="69c12ede1099bb0263342867dd12e045" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nu</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9e74bed9ddc465f1211381d725c945bb"></a><!-- doxytag: member="QuantLib::SABRInterpolation::rho" ref="9e74bed9ddc465f1211381d725c945bb" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>rho</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="575cfa031ce051c0f292518d6b0194e3"></a><!-- doxytag: member="QuantLib::SABRInterpolation::rmsError" ref="575cfa031ce051c0f292518d6b0194e3" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>rmsError</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c4d9decda86622fb96bacef77cfc4424"></a><!-- doxytag: member="QuantLib::SABRInterpolation::maxError" ref="c4d9decda86622fb96bacef77cfc4424" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>maxError</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="775af76ec6dec7c7b6449831cf309796"></a><!-- doxytag: member="QuantLib::SABRInterpolation::interpolationWeights" ref="775af76ec6dec7c7b6449831cf309796" args="() const " -->
const std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td><td class="memItemRight" valign="bottom"><b>interpolationWeights</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="47010658b99d25188edc0f6eeb8d2ff3"></a><!-- doxytag: member="QuantLib::SABRInterpolation::endCriteria" ref="47010658b99d25188edc0f6eeb8d2ff3" args="()" -->
EndCriteria::Type </td><td class="memItemRight" valign="bottom"><b>endCriteria</b> ()</td></tr>
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