- QuantLib
- SABRInterpolation
 
SABR smile interpolation between discrete volatility points. More...
#include <ql/math/interpolations/sabrinterpolation.hpp>

| Public Member Functions | |
| template<class I1 , class I2 > | |
| SABRInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=true, const boost::shared_ptr< EndCriteria > &endCriteria=boost::shared_ptr< EndCriteria >(), const boost::shared_ptr< OptimizationMethod > &optMethod=boost::shared_ptr< OptimizationMethod >()) | |
| Real | expiry () const | 
| Real | forward () const | 
| Real | alpha () const | 
| Real | beta () 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.