volatility Directory Reference

Files
file	abcdatmvolcurve.cpp [code]
file	abcdatmvolcurve.hpp [code]
	Abcd-interpolated at-the-money (no-smile) interest rate vol curve.
file	blackatmvolcurve.cpp [code]
file	blackatmvolcurve.hpp [code]
	Black at-the-money (no-smile) volatility curve base class.
file	blackvolsurface.cpp [code]
file	blackvolsurface.hpp [code]
	Black volatility (smile) surface.
file	equityfxvolsurface.cpp [code]
file	equityfxvolsurface.hpp [code]
	Equity/FX vol (smile) surface.
file	extendedblackvariancecurve.cpp [code]
file	extendedblackvariancecurve.hpp [code]
	Black volatility curve modelled as variance curve.
file	extendedblackvariancesurface.cpp [code]
file	extendedblackvariancesurface.hpp [code]
	Black volatility surface modelled as variance surface.
file	interestratevolsurface.cpp [code]
file	interestratevolsurface.hpp [code]
	Interest rate volatility (smile) surface.
file	noarbsabr.cpp [code]
file	noarbsabr.hpp [code]
	No-arbitrage SABR.
file	noarbsabrabsprobs.cpp [code]
	Absorbtion probabilities in the SABR model This file is to be included from noarbsabr.cpp only The numbers are taken from http://cid-45980dfcc6f0d6c9.skydrive.live.com/self.aspx/.Public/AbsProbs.csv For the paper reference see noarbsabr.hpp.
file	noarbsabrinterpolatedsmilesection.cpp [code]
file	noarbsabrinterpolatedsmilesection.hpp [code]
	noarb sabr interpolating smile section
file	noarbsabrinterpolation.hpp [code]
	noabr sabr interpolation between discrete points
file	noarbsabrsmilesection.cpp [code]
file	noarbsabrsmilesection.hpp [code]
	no arbitrage sabr smile section
file	noarbsabrswaptionvolatilitycube.hpp [code]
	Swaption volatility cube, fit-early-interpolate-later approach using the No Arbitrage Sabr model (Doust)
file	sabrvolsurface.cpp [code]
file	sabrvolsurface.hpp [code]
	SABR volatility (smile) surface.
file	sabrvoltermstructure.hpp [code]
	implied vol surface backed by a SABR model
file	sviinterpolatedsmilesection.cpp [code]
file	sviinterpolatedsmilesection.hpp [code]
	svi interpolating smile section
file	sviinterpolation.hpp [code]
	Svi interpolation interpolation between discrete points.
file	svismilesection.cpp [code]
file	svismilesection.hpp [code]
	svi smile section
file	volcube.cpp [code]
file	volcube.hpp [code]
	Interest rate (optionlet/swaption) volatility cube.
file	zabr.cpp [code]
file	zabr.hpp [code]
	ZABR functions Reference: Andreasen, Huge: ZABR - Expansions for the masses, Preliminary Version, December 2011, http://ssrn.com/abstract=1980726.
file	zabrinterpolatedsmilesection.hpp [code]
	zabr interpolating smile section
file	zabrinterpolation.hpp [code]
	ZABR interpolation interpolation between discrete points.
file	zabrsmilesection.hpp [code]
	zabr smile section