Interface IZabrEvaluation

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

QuantLib's ZABR evaluation tags: the kernel a ZabrSmileSection<TEvaluation> prices with. Its static members answer the section's members that QuantLib dispatches on the tag.

public interface IZabrEvaluation

Remarks

QuantLib's tags are empty structs that select the section's private overloads. Here each tag carries its kernel, in members internal to nanoql, so the tags are QuantLib's: ZabrShortMaturityLognormal, ZabrShortMaturityNormal, ZabrLocalVolatility and ZabrFullFd.