File: class_quant_lib_1_1_zabr.html

package info (click to toggle)
quantlib-refman-html 1.20-1
  • links: PTS, VCS
  • area: main
  • in suites: bookworm, bullseye, sid, trixie
  • size: 103,140 kB
  • sloc: javascript: 13,408; makefile: 35
file content (123 lines) | stat: -rw-r--r-- 7,605 bytes parent folder | download
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: Zabr&lt; Evaluation &gt; Class Template Reference</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
  MathJax.Hub.Config({
    extensions: ["tex2jax.js"],
    jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
 <tbody>
 <tr style="height: 56px;">
  <td id="projectalign" style="padding-left: 0.5em;">
   <div id="projectname"><a href="http://quantlib.org">
       <img alt="QuantLib" src="QL-title.jpg"></a>
   <div id="projectbrief">A free/open-source library for quantitative finance</div>
   <div id="projectnumber">Reference manual - version 1.20</div>
   </div>
  </td>
 </tr>
 </tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&amp;dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&amp;dn=gpl-2.0.txt GPL-v2 */
$(function() {
  initMenu('',true,false,'search.php','Search');
  $(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
     onmouseover="return searchBox.OnSearchSelectShow()"
     onmouseout="return searchBox.OnSearchSelectHide()"
     onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>

<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0" 
        name="MSearchResults" id="MSearchResults">
</iframe>
</div>

<div id="nav-path" class="navpath">
  <ul>
<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_zabr.html">Zabr</a></li>  </ul>
</div>
</div><!-- top -->
<div class="header">
  <div class="summary">
<a href="#pub-methods">Public Member Functions</a> &#124;
<a href="#pub-static-attribs">Static Public Attributes</a> &#124;
<a href="class_quant_lib_1_1_zabr-members.html">List of all members</a>  </div>
  <div class="headertitle">
<div class="title">Zabr&lt; Evaluation &gt; Class Template Reference</div>  </div>
</div><!--header-->
<div class="contents">

<p>no arbtrage sabr interpolation factory and traits  
 <a href="class_quant_lib_1_1_zabr.html#details">More...</a></p>

<p><code>#include &lt;ql/experimental/volatility/zabrinterpolation.hpp&gt;</code></p>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a8ac01787392abe81a34b5cde3f228c9f"><td class="memItemLeft" align="right" valign="top"><a id="a8ac01787392abe81a34b5cde3f228c9f"></a>
&#160;</td><td class="memItemRight" valign="bottom"><b>Zabr</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> forward, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> alpha, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> beta, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> nu, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> rho, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> gamma, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool gammaIsFixed, bool vegaWeighted=false, const ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &gt; &amp;endCriteria=ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &gt;(), const ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> &gt; &amp;optMethod=ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> &gt;(), const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> errorAccept=0.0020, const bool useMaxError=false, const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> maxGuesses=50)</td></tr>
<tr class="separator:a8ac01787392abe81a34b5cde3f228c9f"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:aeebdaea19fcf47f8c30382a178283141"><td class="memTemplParams" colspan="2"><a id="aeebdaea19fcf47f8c30382a178283141"></a>
template&lt;class I1 , class I2 &gt; </td></tr>
<tr class="memitem:aeebdaea19fcf47f8c30382a178283141"><td class="memTemplItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_interpolation.html">Interpolation</a>&#160;</td><td class="memTemplItemRight" valign="bottom"><b>interpolate</b> (const I1 &amp;xBegin, const I1 &amp;xEnd, const I2 &amp;yBegin) const</td></tr>
<tr class="separator:aeebdaea19fcf47f8c30382a178283141"><td class="memSeparator" colspan="2">&#160;</td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-static-attribs"></a>
Static Public Attributes</h2></td></tr>
<tr class="memitem:a288e578670054bd80e88dffe71d28b7b"><td class="memItemLeft" align="right" valign="top"><a id="a288e578670054bd80e88dffe71d28b7b"></a>
static const bool&#160;</td><td class="memItemRight" valign="bottom"><b>global</b> = true</td></tr>
<tr class="separator:a288e578670054bd80e88dffe71d28b7b"><td class="memSeparator" colspan="2">&#160;</td></tr>
</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template&lt;class Evaluation&gt;<br />
class QuantLib::Zabr&lt; Evaluation &gt;</h3>

<p>no arbtrage sabr interpolation factory and traits </p>
</div></div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>