NormalSABR Class Reference

SABR interpolation factory and traits More...

#include <qle/models/normalsabrinterpolation.hpp>

Public Member Functions
	NormalSABR (Time t, Real forward, Real alpha, Real nu, Real rho, bool alphaIsFixed, 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 >(), const Real errorAccept=0.0002, const bool useMaxError=false, const Size maxGuesses=50)
template<class I1 , class I2 >
Interpolation	interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const

Static Public Attributes
static const bool	global = true

Detailed Description

SABR interpolation factory and traits