SABR Class Reference

SABR interpolation factory and traits More...

#include <sabrinterpolation.hpp>

Collaboration diagram for SABR:

Public Member Functions
	SABR (Time t, Real forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, 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, const Real shift=0.0)
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

Private Attributes
Time	t_
Real	forward_
Real	alpha_
Real	beta_
Real	nu_
Real	rho_
bool	alphaIsFixed_
bool	betaIsFixed_
bool	nuIsFixed_
bool	rhoIsFixed_
bool	vegaWeighted_
const ext::shared_ptr< EndCriteria >	endCriteria_
const ext::shared_ptr< OptimizationMethod >	optMethod_
const Real	errorAccept_
const bool	useMaxError_
const Size	maxGuesses_
const Real	shift_

Detailed Description

SABR interpolation factory and traits

Definition at line 198 of file sabrinterpolation.hpp.

Constructor & Destructor Documentation

SABR()

SABR	(	Time	t,
		Real	forward,
		Real	alpha,
		Real	beta,
		Real	nu,
		Real	rho,
		bool	alphaIsFixed,
		bool	betaIsFixed,
		bool	nuIsFixed,
		bool	rhoIsFixed,
		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,
		const Real	shift = 0.0
	)

Definition at line 200 of file sabrinterpolation.hpp.

Member Function Documentation

interpolate()

Interpolation interpolate	(	const I1 &	xBegin,
		const I1 &	xEnd,
		const I2 &	yBegin
	)		const

Definition at line 223 of file sabrinterpolation.hpp.

Member Data Documentation

global

const bool global = true

static

Definition at line 231 of file sabrinterpolation.hpp.

t_

Time t_

private

Definition at line 234 of file sabrinterpolation.hpp.

forward_

Real forward_

private

Definition at line 235 of file sabrinterpolation.hpp.

alpha_

Real alpha_

private

Definition at line 236 of file sabrinterpolation.hpp.

beta_

Real beta_

private

Definition at line 236 of file sabrinterpolation.hpp.

nu_

Real nu_

private

Definition at line 236 of file sabrinterpolation.hpp.

rho_

Real rho_

private

Definition at line 236 of file sabrinterpolation.hpp.

alphaIsFixed_

bool alphaIsFixed_

private

Definition at line 237 of file sabrinterpolation.hpp.

betaIsFixed_

bool betaIsFixed_

private

Definition at line 237 of file sabrinterpolation.hpp.

nuIsFixed_

bool nuIsFixed_

private

Definition at line 237 of file sabrinterpolation.hpp.

rhoIsFixed_

bool rhoIsFixed_

private

Definition at line 237 of file sabrinterpolation.hpp.

vegaWeighted_

bool vegaWeighted_

private

Definition at line 238 of file sabrinterpolation.hpp.

endCriteria_

const ext::shared_ptr<EndCriteria> endCriteria_

private

Definition at line 239 of file sabrinterpolation.hpp.

optMethod_

const ext::shared_ptr<OptimizationMethod> optMethod_

private

Definition at line 240 of file sabrinterpolation.hpp.

errorAccept_

const Real errorAccept_

private

Definition at line 241 of file sabrinterpolation.hpp.

useMaxError_

const bool useMaxError_

private

Definition at line 242 of file sabrinterpolation.hpp.

maxGuesses_

const Size maxGuesses_

private

Definition at line 243 of file sabrinterpolation.hpp.

shift_

const Real shift_

private

Definition at line 244 of file sabrinterpolation.hpp.