SABR Class Reference
#include <ql/math/interpolations/sabrinterpolation.hpp>
List of all members.
Detailed Description
SABR interpolation factory and traits
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Public Types |
| enum | { global = 1
} |
Public Member Functions |
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| SABR (Time t, Real forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, 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 >()) |
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template<class I1, class I2> |
| Interpolation | interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const |
