QuantLib: SABR Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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Public Member Functions | Static Public Attributes | List of all members
SABR Class Reference

SABR interpolation factory and traits More...

`#include <ql/math/interpolations/sabrinterpolation.hpp>`

## Public Member Functions
| SABR (Time t, Real forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=false, const boost::shared_ptr< EndCriteria > endCriteria=boost::shared_ptr< EndCriteria >(), const boost::shared_ptr< OptimizationMethod > optMethod=boost::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0020, const bool useMaxError=false, const Size maxGuesses=50, const Real shift=0.0)
template<class I1 , class I2 >
Interpolation | interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const

## Static Public Attributes
static const bool | global = true

## Detailed Description

SABR interpolation factory and traits