flatvol.cpp File Reference

#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/matrixutilities/pseudosqrt.hpp>
#include <ql/models/marketmodels/correlations/expcorrelations.hpp>
#include <ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.hpp>
#include <ql/models/marketmodels/models/flatvol.hpp>
#include <ql/models/marketmodels/piecewiseconstantcorrelation.hpp>
#include <utility>

Go to the source code of this file.

Namespaces
namespace	QuantLib

Functions
Real	flatVolCovariance (Time t1, Time t2, Time T, Time S, Volatility v1, Volatility v2)