Reference manual - version qle_version
SABR smile interpolation between discrete volatility points. More...
#include <qle/models/normalsabrinterpolation.hpp>
Inheritance diagram for NormalSABRInterpolation:Public Member Functions | |
| template<class I1 , class I2 > | |
| NormalSABRInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real nu, Real rho, bool alphaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=true, const Size atmStrikeIndex=Null< Size >(), const bool implyAlphaFromAtmVol=false, const QuantLib::ext::shared_ptr< EndCriteria > &endCriteria=QuantLib::ext::shared_ptr< EndCriteria >(), const QuantLib::ext::shared_ptr< OptimizationMethod > &optMethod=QuantLib::ext::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0002, const bool useMaxError=false, const Size maxGuesses=50) | |
| Real | expiry () const |
| Real | forward () const |
| Real | alpha () const |
| Real | nu () const |
| Real | rho () const |
| Real | rmsError () const |
| Real | maxError () const |
| const std::vector< Real > & | interpolationWeights () const |
| EndCriteria::Type | endCriteria () |
SABR smile interpolation between discrete volatility points.
