QuantLibAddin::SABRInterpolation Class Reference

#include <qlo/interpolation.hpp>

Inheritance diagram for QuantLibAddin::SABRInterpolation:

Collaboration diagram for QuantLibAddin::SABRInterpolation:

Public Member Functions
	SABRInterpolation (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const std::vector< QuantLib::Real > &x, const std::vector< QuantLib::Handle< QuantLib::Quote > > &y, QuantLib::Time t, QuantLib::Handle< QuantLib::Quote > forward, QuantLib::Real alpha, QuantLib::Real beta, QuantLib::Real nu, QuantLib::Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted, const boost::shared_ptr< QuantLib::EndCriteria > &ec, const boost::shared_ptr< QuantLib::OptimizationMethod > &om, bool permanent)
QuantLib::Real	alpha () const
QuantLib::Real	beta () const
QuantLib::Real	nu () const
QuantLib::Real	rho () const
const std::vector< QuantLib::Real > &	interpolationWeights () const
QuantLib::Real	rmsError () const
QuantLib::Real	maxError () const
QuantLib::EndCriteria::Type	endCriteria () const
void	performCalculations () const
Public Member Functions inherited from QuantLibAddin::Interpolation
QuantLib::Real	operator() (QuantLib::Real x, bool allowExtrapolation) const
QuantLib::Real	primitive (QuantLib::Real x, bool allowExtrapolation) const
QuantLib::Real	derivative (QuantLib::Real x, bool allowExtrapolation) const
QuantLib::Real	secondDerivative (QuantLib::Real x, bool allowExtrapolation) const
void	performCalculations () const
Public Member Functions inherited from QuantLibAddin::Extrapolator
void	enableExtrapolation (bool b)

Protected Attributes
QuantLib::Handle< QuantLib::Quote >	forwardh_
QuantLib::Real	forward_
boost::shared_ptr< QuantLib::SABRInterpolation >	qlSABRInterpolation_
Protected Attributes inherited from QuantLibAddin::Interpolation
QuantLib::Size	n_
std::vector< QuantLib::Real >	x_
std::vector< QuantLib::Handle< QuantLib::Quote > >	yh_
std::vector< QuantLib::Real >	y_
boost::shared_ptr< QuantLib::Interpolation >	qlInterpolation_

Additional Inherited Members
Protected Member Functions inherited from QuantLibAddin::Interpolation
	Interpolation (const boost::shared_ptr< ObjectHandler::ValueObject > &, const std::vector< QuantLib::Real > &x, const std::vector< QuantLib::Handle< QuantLib::Quote > > &yh, bool permanent)

Constructor & Destructor Documentation

SABRInterpolation()

QuantLibAddin::SABRInterpolation::SABRInterpolation	(	const boost::shared_ptr< ObjectHandler::ValueObject > &	properties,
		const std::vector< QuantLib::Real > &	x,
		const std::vector< QuantLib::Handle< QuantLib::Quote > > &	y,
		QuantLib::Time	t,
		QuantLib::Handle< QuantLib::Quote >	forward,
		QuantLib::Real	alpha,
		QuantLib::Real	beta,
		QuantLib::Real	nu,
		QuantLib::Real	rho,
		bool	alphaIsFixed,
		bool	betaIsFixed,
		bool	nuIsFixed,
		bool	rhoIsFixed,
		bool	vegaWeighted,
		const boost::shared_ptr< QuantLib::EndCriteria > &	ec,
		const boost::shared_ptr< QuantLib::OptimizationMethod > &	om,
		bool	permanent
	)

Member Function Documentation

alpha()

QuantLib::Real QuantLibAddin::SABRInterpolation::alpha ( ) const

inline

beta()

QuantLib::Real QuantLibAddin::SABRInterpolation::beta ( ) const

inline

endCriteria()

QuantLib::EndCriteria::Type QuantLibAddin::SABRInterpolation::endCriteria ( ) const

inline

interpolationWeights()

const std::vector<QuantLib::Real>& QuantLibAddin::SABRInterpolation::interpolationWeights ( ) const

inline

maxError()

QuantLib::Real QuantLibAddin::SABRInterpolation::maxError ( ) const

inline

nu()

QuantLib::Real QuantLibAddin::SABRInterpolation::nu ( ) const

inline

performCalculations()

void QuantLibAddin::SABRInterpolation::performCalculations ( ) const

inline

rho()

QuantLib::Real QuantLibAddin::SABRInterpolation::rho ( ) const

inline

rmsError()

QuantLib::Real QuantLibAddin::SABRInterpolation::rmsError ( ) const

inline

Member Data Documentation

forward_

QuantLib::Real QuantLibAddin::SABRInterpolation::forward_

mutableprotected

forwardh_

QuantLib::Handle<QuantLib::Quote> QuantLibAddin::SABRInterpolation::forwardh_

protected

qlSABRInterpolation_

boost::shared_ptr<QuantLib::SABRInterpolation> QuantLibAddin::SABRInterpolation::qlSABRInterpolation_

protected

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The documentation for this class was generated from the following file:

• interpolation.hpp