volatility Directory Reference

Files

file  abcdatmvolcurve.hpp
 Abcd-interpolated at-the-money (no-smile) interest rate vol curve.
 
file  blackatmvolcurve.hpp
 Black at-the-money (no-smile) volatility curve base class.
 
file  blackvolsurface.hpp
 Black volatility (smile) surface.
 
file  equityfxvolsurface.hpp
 Equity/FX vol (smile) surface.
 
file  extendedblackvariancecurve.hpp
 Black volatility curve modelled as variance curve.
 
file  extendedblackvariancesurface.hpp
 Black volatility surface modelled as variance surface.
 
file  interestratevolsurface.hpp
 Interest rate volatility (smile) surface.
 
file  sabrvolsurface.hpp
 SABR volatility (smile) surface.
 
file  volcube.hpp
 Interest rate (optionlet/swaption) volatility cube.