SabrVolSurface (3) Linux Manual Page

ql/experimental/volatility/sabrvolsurface.hpp – SABR volatility (smile) surface.

Synopsis

#include <ql/experimental/volatility/interestratevolsurface.hpp>

#include <ql/experimental/volatility/blackatmvolcurve.hpp>

#include <ql/quote.hpp>

#include <ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp>

#include <boost/array.hpp>

Classes

class SabrVolSurface
SABR volatility (smile) surface.

Detailed Description

SABR volatility (smile) surface.

Author

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