SviSpecs Struct Reference

#include <sviinterpolation.hpp>

Collaboration diagram for SviSpecs:

Public Types
typedef SviWrapper	type

Public Member Functions
Size	dimension ()
void	defaultValues (std::vector< Real > &params, std::vector< bool > &paramIsFixed, const Real &forward, const Real expiryTime, const std::vector< Real > &addParams)
void	guess (Array &values, const std::vector< bool > &paramIsFixed, const Real &forward, const Real expiryTime, const std::vector< Real > &r, const std::vector< Real > &addParams)
Array	inverse (const Array &y, const std::vector< bool > &, const std::vector< Real > &, const Real)
Real	eps1 ()
Real	eps2 ()
Array	direct (const Array &x, const std::vector< bool > &paramIsFixed, const std::vector< Real > &params, const Real forward)
Real	weight (const Real strike, const Real forward, const Real stdDev, const std::vector< Real > &addParams)
ext::shared_ptr< type >	instance (const Time t, const Real &forward, const std::vector< Real > &params, const std::vector< Real > &addParams)

Detailed Description

Definition at line 57 of file sviinterpolation.hpp.

Member Typedef Documentation

type

typedef SviWrapper type

Definition at line 134 of file sviinterpolation.hpp.

Member Function Documentation

dimension()

Size dimension

(

)

Definition at line 58 of file sviinterpolation.hpp.

defaultValues()

void defaultValues	(	std::vector< Real > &	params,
		std::vector< bool > &	paramIsFixed,
		const Real &	forward,
		const Real	expiryTime,
		const std::vector< Real > &	addParams
	)

Definition at line 59 of file sviinterpolation.hpp.

Here is the call graph for this function:

guess()

void guess	(	Array &	values,
		const std::vector< bool > &	paramIsFixed,
		const Real &	forward,
		const Real	expiryTime,
		const std::vector< Real > &	r,
		const std::vector< Real > &	addParams
	)

Definition at line 81 of file sviinterpolation.hpp.

Here is the call graph for this function:

inverse()

Array inverse	(	const Array &	y,
		const std::vector< bool > &	,
		const std::vector< Real > &	,
		const	Real
	)

Definition at line 98 of file sviinterpolation.hpp.

Here is the call graph for this function:

eps1()

Real eps1

(

)

Definition at line 110 of file sviinterpolation.hpp.

Here is the caller graph for this function:

eps2()

Real eps2

(

)

Definition at line 111 of file sviinterpolation.hpp.

Here is the caller graph for this function:

direct()

Array direct	(	const Array &	x,
		const std::vector< bool > &	paramIsFixed,
		const std::vector< Real > &	params,
		const Real	forward
	)

Definition at line 112 of file sviinterpolation.hpp.

Here is the call graph for this function:

weight()

Real weight	(	const Real	strike,
		const Real	forward,
		const Real	stdDev,
		const std::vector< Real > &	addParams
	)

Definition at line 130 of file sviinterpolation.hpp.

Here is the call graph for this function:

instance()

ext::shared_ptr< type > instance	(	const Time	t,
		const Real &	forward,
		const std::vector< Real > &	params,
		const std::vector< Real > &	addParams
	)

Definition at line 135 of file sviinterpolation.hpp.