NormalSABRInterpolation Class Reference

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

#include <qle/models/normalsabrinterpolation.hpp>

Inheritance diagram for NormalSABRInterpolation:

Public Member Functions
template<class I1, class I2>
	NormalSABRInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real nu, Real rho, bool alphaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=true, const Size atmStrikeIndex=Null< Size >(), const bool implyAlphaFromAtmVol=false, const QuantLib::ext::shared_ptr< EndCriteria > &endCriteria=QuantLib::ext::shared_ptr< EndCriteria >(), const QuantLib::ext::shared_ptr< OptimizationMethod > &optMethod=QuantLib::ext::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0002, const bool useMaxError=false, const Size maxGuesses=50)
Real	expiry () const
Real	forward () const
Real	alpha () const
Real	nu () const
Real	rho () const
Real	rmsError () const
Real	maxError () const
const std::vector< Real > &	interpolationWeights () const
EndCriteria::Type	endCriteria ()

Detailed Description

SABR smile interpolation between discrete volatility points.