File: dir_b541e93af785ac0283bd6b588e8be96c.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 (162 lines) | stat: -rw-r--r-- 13,670 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
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
 
<!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: ql/experimental/volatility Directory 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="dir_958d2abebb9d0797c141a9841f9d5d39.html">ql</a></li><li class="navelem"><a class="el" href="dir_22288967c79201d6a97c4cec1d9fdd3a.html">experimental</a></li><li class="navelem"><a class="el" href="dir_b541e93af785ac0283bd6b588e8be96c.html">volatility</a></li>  </ul>
</div>
</div><!-- top -->
<div class="header">
  <div class="headertitle">
<div class="title">volatility Directory Reference</div>  </div>
</div><!--header-->
<div class="contents">
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="files"></a>
Files</h2></td></tr>
<tr class="memitem:abcdatmvolcurve_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>abcdatmvolcurve.hpp</b></td></tr>
<tr class="memdesc:abcdatmvolcurve_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">Abcd-interpolated at-the-money (no-smile) interest rate vol curve. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:blackatmvolcurve_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>blackatmvolcurve.hpp</b></td></tr>
<tr class="memdesc:blackatmvolcurve_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">Black at-the-money (no-smile) volatility curve base class. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:blackvolsurface_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>blackvolsurface.hpp</b></td></tr>
<tr class="memdesc:blackvolsurface_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">Black volatility (smile) surface. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:equityfxvolsurface_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>equityfxvolsurface.hpp</b></td></tr>
<tr class="memdesc:equityfxvolsurface_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">Equity/FX vol (smile) surface. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:extendedblackvariancecurve_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>extendedblackvariancecurve.hpp</b></td></tr>
<tr class="memdesc:extendedblackvariancecurve_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">Black volatility curve modelled as variance curve. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:extendedblackvariancesurface_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>extendedblackvariancesurface.hpp</b></td></tr>
<tr class="memdesc:extendedblackvariancesurface_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">Black volatility surface modelled as variance surface. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:interestratevolsurface_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>interestratevolsurface.hpp</b></td></tr>
<tr class="memdesc:interestratevolsurface_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">Interest rate volatility (smile) surface. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:noarbsabr_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>noarbsabr.hpp</b></td></tr>
<tr class="memdesc:noarbsabr_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">No-arbitrage SABR. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:noarbsabrinterpolatedsmilesection_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>noarbsabrinterpolatedsmilesection.hpp</b></td></tr>
<tr class="memdesc:noarbsabrinterpolatedsmilesection_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">noarb sabr interpolating smile section <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:noarbsabrinterpolation_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>noarbsabrinterpolation.hpp</b></td></tr>
<tr class="memdesc:noarbsabrinterpolation_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">noabr sabr interpolation between discrete points <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:noarbsabrsmilesection_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>noarbsabrsmilesection.hpp</b></td></tr>
<tr class="memdesc:noarbsabrsmilesection_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">no arbitrage sabr smile section <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:sabrvolsurface_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>sabrvolsurface.hpp</b></td></tr>
<tr class="memdesc:sabrvolsurface_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">SABR volatility (smile) surface. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:sabrvoltermstructure_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>sabrvoltermstructure.hpp</b></td></tr>
<tr class="memdesc:sabrvoltermstructure_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">implied vol surface backed by a SABR model <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:sviinterpolatedsmilesection_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>sviinterpolatedsmilesection.hpp</b></td></tr>
<tr class="memdesc:sviinterpolatedsmilesection_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">svi interpolating smile section <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:sviinterpolation_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>sviinterpolation.hpp</b></td></tr>
<tr class="memdesc:sviinterpolation_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">Svi interpolation interpolation between discrete points. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:svismilesection_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>svismilesection.hpp</b></td></tr>
<tr class="memdesc:svismilesection_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">svi smile section <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:swaptionvolcube1a_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>swaptionvolcube1a.hpp</b></td></tr>
<tr class="memdesc:swaptionvolcube1a_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">Swaption volatility cube, fit-early-interpolate-later approach using the No Arbitrage Sabr model (Doust) <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:volcube_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>volcube.hpp</b></td></tr>
<tr class="memdesc:volcube_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">Interest rate (optionlet/swaption) volatility cube. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:zabr_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>zabr.hpp</b></td></tr>
<tr class="memdesc:zabr_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">ZABR functions Reference: Andreasen, Huge: ZABR - Expansions for the masses, Preliminary Version, December 2011, <a href="http://ssrn.com/abstract=1980726">http://ssrn.com/abstract=1980726</a>. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:zabrinterpolatedsmilesection_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>zabrinterpolatedsmilesection.hpp</b></td></tr>
<tr class="memdesc:zabrinterpolatedsmilesection_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">zabr interpolating smile section <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:zabrinterpolation_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>zabrinterpolation.hpp</b></td></tr>
<tr class="memdesc:zabrinterpolation_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">ZABR interpolation interpolation between discrete points. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:zabrsmilesection_8hpp"><td class="memItemLeft" align="right" valign="top">file &#160;</td><td class="memItemRight" valign="bottom"><b>zabrsmilesection.hpp</b></td></tr>
<tr class="memdesc:zabrsmilesection_8hpp"><td class="mdescLeft">&#160;</td><td class="mdescRight">zabr smile section <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2">&#160;</td></tr>
</table>
</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>