QuantLib_SABR (3) Linux Manual Page

QuantLib::SABR – SABR interpolation factory and traits

Synopsis

#include <ql/math/interpolations/sabrinterpolation.hpp>

Public Member Functions

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 >())

template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const

Static Public Attributes

static const bool global = true

Detailed Description

SABR interpolation factory and traits

Author

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