Public Member Functions | List of all members
QuantLibAddin::SabrVolSurface Class Reference

#include <qlo/volatilities.hpp>

Inheritance diagram for QuantLibAddin::SabrVolSurface:
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Public Member Functions

 SabrVolSurface (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const boost::shared_ptr< QuantLib::InterestRateIndex > &index, const QuantLib::Handle< QuantLib::BlackAtmVolCurve > &blackAtmCurve, const std::vector< QuantLib::Period > &optionTenors, const std::vector< QuantLib::Spread > &atmRateSpreads, const std::vector< std::vector< QuantLib::Handle< QuantLib::Quote > > > &volSpreads, bool permanent)
 
std::string atmCurve ()
 

Constructor & Destructor Documentation

◆ SabrVolSurface()

QuantLibAddin::SabrVolSurface::SabrVolSurface ( const boost::shared_ptr< ObjectHandler::ValueObject > &  properties,
const boost::shared_ptr< QuantLib::InterestRateIndex > &  index,
const QuantLib::Handle< QuantLib::BlackAtmVolCurve > &  blackAtmCurve,
const std::vector< QuantLib::Period > &  optionTenors,
const std::vector< QuantLib::Spread > &  atmRateSpreads,
const std::vector< std::vector< QuantLib::Handle< QuantLib::Quote > > > &  volSpreads,
bool  permanent 
)

Member Function Documentation

◆ atmCurve()

std::string QuantLibAddin::SabrVolSurface::atmCurve ( )
The documentation for this class was generated from the following file: