QuantLib: ql/experimental/volatility Directory Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

volatility Directory Reference

## Files
file | abcdatmvolcurve.hpp
| Abcd-interpolated at-the-money (no-smile) interest rate vol curve.
file | blackatmvolcurve.hpp
| Black at-the-money (no-smile) volatility curve base class.
file | blackvolsurface.hpp
| Black volatility (smile) surface.
file | equityfxvolsurface.hpp
| Equity/FX vol (smile) surface.
file | extendedblackvariancecurve.hpp
| Black volatility curve modelled as variance curve.
file | extendedblackvariancesurface.hpp
| Black volatility surface modelled as variance surface.
file | interestratevolsurface.hpp
| Interest rate volatility (smile) surface.
file | noarbsabr.hpp
| No-arbitrage SABR.
file | noarbsabrinterpolatedsmilesection.hpp
| noarb sabr interpolating smile section
file | noarbsabrinterpolation.hpp
| noabr sabr interpolation between discrete points
file | noarbsabrsmilesection.hpp
| no arbitrage sabr smile section
file | sabrvolsurface.hpp
| SABR volatility (smile) surface.
file | sabrvoltermstructure.hpp
| implied vol surface backed by a SABR model
file | sviinterpolatedsmilesection.hpp
| svi interpolating smile section
file | sviinterpolation.hpp
| Svi interpolation interpolation between discrete points.
file | svismilesection.hpp
| svi smile section
file | swaptionvolcube1a.hpp
| Swaption volatility cube, fit-early-interpolate-later approach using the No Arbitrage Sabr model (Doust)
file | volcube.hpp
| Interest rate (optionlet/swaption) volatility cube.
file | zabr.hpp
| ZABR functions Reference: Andreasen, Huge: ZABR - Expansions for the masses, Preliminary Version, December 2011, http://ssrn.com/abstract=1980726.
file | zabrinterpolatedsmilesection.hpp
| zabr interpolating smile section
file | zabrinterpolation.hpp
| ZABR interpolation interpolation between discrete points.
file | zabrsmilesection.hpp
| zabr smile section