lballabio/quantlib — pull request #118 by pcaspers (2014-07-25 20:00:17+00:00)
Title: Add experimental No Arbitrage Sabr Model (Doust, 2012)

to make use of the existing "sabr infrastructure" I generalized the interpolation and volatility cube class such that they take both the classic Hagan 2002 and the new noarb-sabr model (and possibly others in the future, like Andreasen's zabr model); only minimal functional impact (see the commit messages) is intended though despite the huge diffs that show up here

also, there is one big data file (noarbsabrabsprobs.cpp), that is included from noarbsabr.cpp, and not itself compiled into the library. this seems somehow non-standard, but I didn't know how to handle this in a better way.