zabr smile interpolation between discrete volatility points. More...
#include <ql/experimental/volatility/zabrinterpolation.hpp>
 Inheritance diagram for ZabrInterpolation< Evaluation >:
 Inheritance diagram for ZabrInterpolation< Evaluation >:| Public Member Functions | |
| template<class I1 , class I2 > | |
| ZabrInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, Real gamma, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool gammaIsFixed, 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 | gamma () 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< Impl > | impl_ | 
zabr smile interpolation between discrete volatility points.