sabrinterpolation (3) - Linux Man Pages

sabrinterpolation: SABR interpolation interpolation between discrete points.

NAME

ql/math/interpolations/sabrinterpolation.hpp - SABR interpolation interpolation between discrete points.

SYNOPSIS


#include <ql/math/interpolation.hpp>
#include <ql/math/optimization/method.hpp>
#include <ql/math/optimization/simplex.hpp>
#include <ql/math/optimization/levenbergmarquardt.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/utilities/null.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/termstructures/volatility/sabr.hpp>
#include <ql/math/optimization/projectedcostfunction.hpp>
#include <ql/math/optimization/constraint.hpp>

Classes


class SABRInterpolation
SABR smile interpolation between discrete volatility points.
class SABR
SABR interpolation factory and traits

Detailed Description

SABR interpolation interpolation between discrete points.

Author

Generated automatically by Doxygen for QuantLib from the source code.