QuantLibAddin::SabrInterpolatedSmileSection Class Reference
#include <qlo/smilesection.hpp>
Inheritance diagram for QuantLibAddin::SabrInterpolatedSmileSection:
Collaboration diagram for QuantLibAddin::SabrInterpolatedSmileSection:
Public Member Functions | |
| SabrInterpolatedSmileSection (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const QuantLib::Date &optionDate, const QuantLib::Rate &forward, const std::vector< QuantLib::Rate > &strikes, bool hasFloatingStrikes, const QuantLib::Volatility &atmVolatility, const std::vector< QuantLib::Volatility > &vols, QuantLib::Real alpha, QuantLib::Real beta, QuantLib::Real nu, QuantLib::Real rho, bool isAlphaFixed, bool isBetaFixed, bool isNuFixed, bool isRhoFixed, bool vegaWeighted, const boost::shared_ptr< QuantLib::EndCriteria > endCriteria, const boost::shared_ptr< QuantLib::OptimizationMethod > method, const QuantLib::DayCounter &dc, bool permanent) | |
| SabrInterpolatedSmileSection (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const QuantLib::Date &optionDate, const QuantLib::Handle< QuantLib::Quote > &forward, const std::vector< QuantLib::Rate > &strikes, bool hasFloatingStrikes, const QuantLib::Handle< QuantLib::Quote > &atmVolatility, const std::vector< QuantLib::Handle< QuantLib::Quote > > &volHandles, QuantLib::Real alpha, QuantLib::Real beta, QuantLib::Real nu, QuantLib::Real rho, bool isAlphaFixed, bool isBetaFixed, bool isNuFixed, bool isRhoFixed, bool vegaWeighted, const boost::shared_ptr< QuantLib::EndCriteria > endCriteria, const boost::shared_ptr< QuantLib::OptimizationMethod > method, const QuantLib::DayCounter &dc, bool permanent) | |
Constructor & Destructor Documentation
◆ SabrInterpolatedSmileSection() [1/2]
| QuantLibAddin::SabrInterpolatedSmileSection::SabrInterpolatedSmileSection | ( | const boost::shared_ptr< ObjectHandler::ValueObject > & | properties, |
| const QuantLib::Date & | optionDate, | ||
| const QuantLib::Rate & | forward, | ||
| const std::vector< QuantLib::Rate > & | strikes, | ||
| bool | hasFloatingStrikes, | ||
| const QuantLib::Volatility & | atmVolatility, | ||
| const std::vector< QuantLib::Volatility > & | vols, | ||
| QuantLib::Real | alpha, | ||
| QuantLib::Real | beta, | ||
| QuantLib::Real | nu, | ||
| QuantLib::Real | rho, | ||
| bool | isAlphaFixed, | ||
| bool | isBetaFixed, | ||
| bool | isNuFixed, | ||
| bool | isRhoFixed, | ||
| bool | vegaWeighted, | ||
| const boost::shared_ptr< QuantLib::EndCriteria > | endCriteria, | ||
| const boost::shared_ptr< QuantLib::OptimizationMethod > | method, | ||
| const QuantLib::DayCounter & | dc, | ||
| bool | permanent | ||
| ) |
◆ SabrInterpolatedSmileSection() [2/2]
| QuantLibAddin::SabrInterpolatedSmileSection::SabrInterpolatedSmileSection | ( | const boost::shared_ptr< ObjectHandler::ValueObject > & | properties, |
| const QuantLib::Date & | optionDate, | ||
| const QuantLib::Handle< QuantLib::Quote > & | forward, | ||
| const std::vector< QuantLib::Rate > & | strikes, | ||
| bool | hasFloatingStrikes, | ||
| const QuantLib::Handle< QuantLib::Quote > & | atmVolatility, | ||
| const std::vector< QuantLib::Handle< QuantLib::Quote > > & | volHandles, | ||
| QuantLib::Real | alpha, | ||
| QuantLib::Real | beta, | ||
| QuantLib::Real | nu, | ||
| QuantLib::Real | rho, | ||
| bool | isAlphaFixed, | ||
| bool | isBetaFixed, | ||
| bool | isNuFixed, | ||
| bool | isRhoFixed, | ||
| bool | vegaWeighted, | ||
| const boost::shared_ptr< QuantLib::EndCriteria > | endCriteria, | ||
| const boost::shared_ptr< QuantLib::OptimizationMethod > | method, | ||
| const QuantLib::DayCounter & | dc, | ||
| bool | permanent | ||
| ) |
The documentation for this class was generated from the following file: