Zabr< Evaluation > Class Template Reference

no arbtrage sabr interpolation factory and traits More...

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

Public Member Functions
	Zabr (Time t, Real forward, Real alpha, Real beta, Real nu, Real rho, Real gamma, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool gammaIsFixed, bool vegaWeighted=false, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), ext::shared_ptr< OptimizationMethod > optMethod=ext::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0020, const bool useMaxError=false, const Size maxGuesses=50)
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

template<class Evaluation>
class QuantLib::Zabr< Evaluation >

no arbtrage sabr interpolation factory and traits