SABRInterpolation Class Reference

SABR smile interpolation between discrete volatility points. More...

#include <ql/math/interpolations/sabrinterpolation.hpp>

Inheritance diagram for SABRInterpolation:

Public Member Functions

template<class I1 , class I2 >
 SABRInterpolation (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)
 
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
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
void enableExtrapolation (bool b=true)
 enable extrapolation in subsequent calls
 
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls
 
bool allowsExtrapolation () const
 tells whether extrapolation is enabled
 

Additional Inherited Members

- Public Types inherited from Interpolation
typedef Real argument_type
 
typedef Real result_type
 
- Protected Member Functions inherited from Interpolation
void checkRange (Real x, bool extrapolate) const
 
- Protected Attributes inherited from Interpolation
boost::shared_ptr< Implimpl_
 

Detailed Description

SABR smile interpolation between discrete volatility points.