NoArbSabrInterpolation Class Reference

no arbitrage sabr smile interpolation between discrete volatility points. More...

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

Inheritance diagram for NoArbSabrInterpolation:

Public Member Functions
template<class I1, class I2>
	NoArbSabrInterpolation (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 ext::shared_ptr< EndCriteria > &endCriteria=ext::shared_ptr< EndCriteria >(), const ext::shared_ptr< OptimizationMethod > &optMethod=ext::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0020, const bool useMaxError=false, const Size maxGuesses=50, const Real shift=0.0)
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 ()
Public Member Functions inherited from Interpolation
bool	empty () const
Real	operator() (Real x, bool allowExtrapolation=false) const
Real	primitive (Real x, bool allowExtrapolation=false) const
Real	derivative (Real x, bool allowExtrapolation=false) const
Real	secondDerivative (Real x, bool allowExtrapolation=false) const
Real	xMin () const
Real	xMax () const
bool	isInRange (Real x) const
void	update ()
Public Member Functions inherited from Extrapolator
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls
void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls
bool	allowsExtrapolation () const
	tells whether extrapolation is enabled

Additional Inherited Members
Protected Member Functions inherited from Interpolation
void	checkRange (Real x, bool extrapolate) const
Protected Attributes inherited from Interpolation
ext::shared_ptr< Impl >	impl_

Detailed Description

no arbitrage sabr smile interpolation between discrete volatility points.