sabrswaptionvolatilitycube.hpp File Reference

Swaption volatility cube, fit-early-interpolate-later approach The provided types are SabrSwaptionVolatilityCube using the classic Hagan 2002 Sabr formula NoArbSabrSwaptionVolatilityCube using the No Arbitrage Sabr model (Doust) More...

#include <ql/math/interpolations/backwardflatlinearinterpolation.hpp>
#include <ql/math/interpolations/bilinearinterpolation.hpp>
#include <ql/math/interpolations/flatextrapolation2d.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/interpolations/sabrinterpolation.hpp>
#include <ql/math/matrix.hpp>
#include <ql/quote.hpp>
#include <ql/termstructures/volatility/sabrsmilesection.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>
#include <utility>

Go to the source code of this file.

Classes
class	XabrSwaptionVolatilityCube< Model >
	XABR Swaption Volatility Cube. More...
class	XabrSwaptionVolatilityCube< Model >::Cube
class	XabrSwaptionVolatilityCube< Model >::PrivateObserver
struct	SwaptionVolCubeSabrModel
	Swaption Volatility Cube SABR. More...

Namespaces
namespace	QuantLib

Macros
#define	SWAPTIONVOLCUBE_VEGAWEIGHTED_TOL   15.0e-4
#define	SWAPTIONVOLCUBE_TOL   100.0e-4

Typedefs
typedef XabrSwaptionVolatilityCube< SwaptionVolCubeSabrModel >	SabrSwaptionVolatilityCube
	SABR volatility cube for swaptions. More...

Detailed Description

Swaption volatility cube, fit-early-interpolate-later approach The provided types are SabrSwaptionVolatilityCube using the classic Hagan 2002 Sabr formula NoArbSabrSwaptionVolatilityCube using the No Arbitrage Sabr model (Doust)

Definition in file sabrswaptionvolatilitycube.hpp.

Macro Definition Documentation

SWAPTIONVOLCUBE_VEGAWEIGHTED_TOL

#define SWAPTIONVOLCUBE_VEGAWEIGHTED_TOL   15.0e-4

Definition at line 45 of file sabrswaptionvolatilitycube.hpp.

SWAPTIONVOLCUBE_TOL

#define SWAPTIONVOLCUBE_TOL   100.0e-4

Definition at line 48 of file sabrswaptionvolatilitycube.hpp.