Inheritance diagram for QuantLibAddin::SabrSmileSection:

Collaboration diagram for QuantLibAddin::SabrSmileSection:

Public Member Functions
	SabrSmileSection (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const QuantLib::Time expiry, const std::vector< QuantLib::Rate > &strikes, const std::vector< QuantLib::Handle< QuantLib::Quote > > &stdDevs, const QuantLib::Handle< QuantLib::Quote > &forward, QuantLib::Real alpha, QuantLib::Real beta, QuantLib::Real nu, QuantLib::Real rho, bool isAlphaFixed, bool isBetaFixed, bool isNuFixed, bool isRhoFixed, bool vegaWeighted=false, const boost::shared_ptr< QuantLib::EndCriteria > endCriteria=boost::shared_ptr< QuantLib::EndCriteria >(), const boost::shared_ptr< QuantLib::OptimizationMethod > method=boost::shared_ptr< QuantLib::OptimizationMethod >(), bool permanent=false)

Constructor & Destructor Documentation

◆ SabrSmileSection()

QuantLibAddin::SabrSmileSection::SabrSmileSection	(	const boost::shared_ptr< ObjectHandler::ValueObject > &	properties,
		const QuantLib::Time	expiry,
		const std::vector< QuantLib::Rate > &	strikes,
		const std::vector< QuantLib::Handle< QuantLib::Quote > > &	stdDevs,
		const QuantLib::Handle< QuantLib::Quote > &	forward,
		QuantLib::Real	alpha,
		QuantLib::Real	beta,
		QuantLib::Real	nu,
		QuantLib::Real	rho,
		bool	isAlphaFixed,
		bool	isBetaFixed,
		bool	isNuFixed,
		bool	isRhoFixed,
		bool	vegaWeighted = `false`,
		const boost::shared_ptr< QuantLib::EndCriteria >	endCriteria = `boost::shared_ptr< QuantLib::EndCriteria >()`,
		const boost::shared_ptr< QuantLib::OptimizationMethod >	method = `boost::shared_ptr< QuantLib::OptimizationMethod >()`,
		bool	permanent = `false`
	)

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