NoArbSabrInterpolation

NAME

NoArbSabrInterpolation − no arbitrage sabr smile interpolation between discrete volatility points.

SYNOPSIS

#include <ql/experimental/volatility/noarbsabrinterpolation.hpp>

Inherits Interpolation.

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 boost::shared_ptr< EndCriteria > &endCriteria=boost::shared_ptr< EndCriteria >(), const boost::shared_ptr< OptimizationMethod > &optMethod=boost::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 ()

Additional Inherited Members

Detailed Description

no arbitrage sabr smile interpolation between discrete volatility points.

Author

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