normalsabr.hpp File Reference

normal SABR model implied volatility approximation More...

#include <ql/types.hpp>

Go to the source code of this file.

Namespaces
namespace	QuantExt

Functions
Real	normalSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real nu, Real rho)
Real	normalSabrAlphaFromAtmVol (Rate forward, Time expiryTime, Real atmVol, Real nu, Real rho)
Real	normalFreeBoundarySabrPrice (Rate strike, Rate forward, Time expiryTime, Real alpha, Real nu, Real rho)
Real	normalFreeBoundarySabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real nu, Real rho)

Detailed Description

normal SABR model implied volatility approximation

Definition in file normalsabr.hpp.