andreasenhugevolatilityinterpl.hpp File Reference

Andreasen-Huge local volatility calibration and interpolation. More...

#include <ql/quote.hpp>
#include <ql/handle.hpp>
#include <ql/option.hpp>
#include <ql/math/matrix.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/math/optimization/levenbergmarquardt.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
#include <ql/tuple.hpp>
#include <utility>

Go to the source code of this file.

Classes
class	AndreasenHugeVolatilityInterpl
	Calibration of a local volatility surface to a sparse grid of options. More...
struct	AndreasenHugeVolatilityInterpl::SingleStepCalibrationResult

Namespaces
namespace	QuantLib

Detailed Description

Andreasen-Huge local volatility calibration and interpolation.

Definition in file andreasenhugevolatilityinterpl.hpp.