sviinterpolation.hpp File Reference

Svi interpolation interpolation between discrete points. More...

#include <ql/experimental/volatility/svismilesection.hpp>
#include <ql/math/interpolations/xabrinterpolation.hpp>
#include <utility>

Go to the source code of this file.

Classes
struct	SviSpecs
class	SviInterpolation
	Svi smile interpolation between discrete volatility points. More...
class	Svi
	Svi interpolation factory and traits More...

Namespaces
namespace	QuantLib
namespace	QuantLib::detail

Typedefs
typedef SviSmileSection	SviWrapper

Functions
void	checkSviParameters (const Real a, const Real b, const Real sigma, const Real rho, const Real m, const Time tte)
Real	sviTotalVariance (const Real a, const Real b, const Real sigma, const Real rho, const Real m, const Real k)

Detailed Description

Svi interpolation interpolation between discrete points.

Definition in file sviinterpolation.hpp.