AbcdAtmVolCurve (3) Linux Manual Page

ql/experimental/volatility/abcdatmvolcurve.hpp – Abcd-interpolated at-the-money (no-smile) interest rate vol curve.

Synopsis

#include <ql/experimental/volatility/blackatmvolcurve.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/math/interpolations/abcdinterpolation.hpp>

Classes

class AbcdAtmVolCurve
Abcd-interpolated at-the-money (no-smile) volatility curve.

Detailed Description

Abcd-interpolated at-the-money (no-smile) interest rate vol curve.

Author

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