SABRInterpolation Class Reference
#include <ql/Math/sabrinterpolation.hpp>
Inheritance diagram for SABRInterpolation:

Detailed Description
SABR smile interpolation between discrete volatility points.
Public Member Functions | |
| template<class I1, class I2> | |
| SABRInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, Real forward, Real alpha, Real beta, Real nu, Real rho, bool isAlphaFixed, bool isBetaFixed, bool isNuFixed, bool isRhoFixed, const boost::shared_ptr< OptimizationMethod > &method=boost::shared_ptr< OptimizationMethod >()) | |
| Real | expiry () const |
| Real | forward () const |
| Real | alpha () const |
| Real | beta () const |
| Real | nu () const |
| Real | rho () const |
| Real | interpolationError () const |
| Real | interpolationMaxError () const |
| EndCriteria::Type | endCriteria () |