no arbitrage sabr smile interpolation between discrete volatility points. More...
#include <noarbsabrinterpolation.hpp>
Inheritance diagram for NoArbSabrInterpolation:
Collaboration diagram for NoArbSabrInterpolation:
Public Member Functions | |
| template<class I1 , class I2 > | |
| NoArbSabrInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=true, const ext::shared_ptr< EndCriteria > &endCriteria=ext::shared_ptr< EndCriteria >(), const 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) | |
| Real | expiry () const |
| Real | forward () const |
| Real | alpha () const |
| Real | beta () const |
| Real | nu () const |
| Real | rho () const |
| Real | rmsError () const |
| Real | maxError () const |
| const std::vector< Real > & | interpolationWeights () const |
| EndCriteria::Type | endCriteria () |
| Public Member Functions inherited from Interpolation | |
| Interpolation ()=default | |
| ~Interpolation () override=default | |
| bool | empty () const |
| Real | operator() (Real x, bool allowExtrapolation=false) const |
| Real | primitive (Real x, bool allowExtrapolation=false) const |
| Real | derivative (Real x, bool allowExtrapolation=false) const |
| Real | secondDerivative (Real x, bool allowExtrapolation=false) const |
| Real | xMin () const |
| Real | xMax () const |
| bool | isInRange (Real x) const |
| void | update () |
| Public Member Functions inherited from Extrapolator | |
| Extrapolator ()=default | |
| virtual | ~Extrapolator ()=default |
| void | enableExtrapolation (bool b=true) |
| enable extrapolation in subsequent calls More... | |
| void | disableExtrapolation (bool b=true) |
| disable extrapolation in subsequent calls More... | |
| bool | allowsExtrapolation () const |
| tells whether extrapolation is enabled More... | |
Private Member Functions | |
| const detail::XABRCoeffHolder< detail::NoArbSabrSpecs > & | coeffs () const |
Additional Inherited Members | |
| Protected Member Functions inherited from Interpolation | |
| void | checkRange (Real x, bool extrapolate) const |
| Protected Attributes inherited from Interpolation | |
| ext::shared_ptr< Impl > | impl_ |
Detailed Description
no arbitrage sabr smile interpolation between discrete volatility points.
Definition at line 194 of file noarbsabrinterpolation.hpp.
Constructor & Destructor Documentation
◆ NoArbSabrInterpolation()
| NoArbSabrInterpolation | ( | const I1 & | xBegin, |
| const I1 & | xEnd, | ||
| const I2 & | yBegin, | ||
| Time | t, | ||
| const Real & | forward, | ||
| Real | alpha, | ||
| Real | beta, | ||
| Real | nu, | ||
| Real | rho, | ||
| bool | alphaIsFixed, | ||
| bool | betaIsFixed, | ||
| bool | nuIsFixed, | ||
| bool | rhoIsFixed, | ||
| bool | vegaWeighted = true, |
||
| const ext::shared_ptr< EndCriteria > & | endCriteria = ext::shared_ptr<EndCriteria>(), |
||
| const 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 197 of file noarbsabrinterpolation.hpp.
Here is the call graph for this function:
Member Function Documentation
◆ expiry()
| Real expiry | ( | ) | const |
Definition at line 221 of file noarbsabrinterpolation.hpp.
Here is the call graph for this function:
◆ forward()
| Real forward | ( | ) | const |
Definition at line 222 of file noarbsabrinterpolation.hpp.
Here is the call graph for this function:
Here is the caller graph for this function:
◆ alpha()
| Real alpha | ( | ) | const |
Definition at line 223 of file noarbsabrinterpolation.hpp.
Here is the call graph for this function:
Here is the caller graph for this function:
◆ beta()
| Real beta | ( | ) | const |
Definition at line 224 of file noarbsabrinterpolation.hpp.
Here is the call graph for this function:
Here is the caller graph for this function:
◆ nu()
| Real nu | ( | ) | const |
Definition at line 225 of file noarbsabrinterpolation.hpp.
Here is the call graph for this function:
Here is the caller graph for this function:
◆ rho()
| Real rho | ( | ) | const |
Definition at line 226 of file noarbsabrinterpolation.hpp.
Here is the call graph for this function:
Here is the caller graph for this function:
◆ rmsError()
| Real rmsError | ( | ) | const |
Definition at line 227 of file noarbsabrinterpolation.hpp.
Here is the call graph for this function:
◆ maxError()
| Real maxError | ( | ) | const |
Definition at line 228 of file noarbsabrinterpolation.hpp.
Here is the call graph for this function:
◆ interpolationWeights()
| const std::vector< Real > & interpolationWeights | ( | ) | const |
Definition at line 229 of file noarbsabrinterpolation.hpp.
Here is the call graph for this function:
◆ endCriteria()
| EndCriteria::Type endCriteria | ( | ) |
Definition at line 232 of file noarbsabrinterpolation.hpp.
Here is the call graph for this function:
Here is the caller graph for this function:
◆ coeffs()
|
private |
Definition at line 235 of file noarbsabrinterpolation.hpp.
Here is the caller graph for this function: