QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Variables | |
const Real | beta_min = 0.01 |
const Real | beta_max = 0.99 |
const Real | expiryTime_max = 30.0 |
const Real | sigmaI_min = 0.05 |
const Real | sigmaI_max = 1.00 |
const Real | nu_min = 0.01 |
const Real | nu_max = 0.80 |
const Real | rho_min = -0.99 |
const Real | rho_max = 0.99 |
const Real | phiByTau_cutoff = 124.587 |
const Real | nsim = 2500000.0 |
const Real | tiny_prob = 1E-5 |
const Real | strike_min = 1E-6 |
const Real | i_accuracy = 1E-7 |
const Size | i_max_iterations = 10000 |
const Real | forward_accuracy = 1E-6 |
const Real | forward_search_step = 0.0010 |
const Real | density_lower_bound = 1E-50 |
const Real | density_threshold = 1E-100 |
const Real beta_min = 0.01 |
Definition at line 64 of file noarbsabr.hpp.
const Real beta_max = 0.99 |
Definition at line 65 of file noarbsabr.hpp.
const Real expiryTime_max = 30.0 |
Definition at line 66 of file noarbsabr.hpp.
const Real sigmaI_min = 0.05 |
Definition at line 67 of file noarbsabr.hpp.
const Real sigmaI_max = 1.00 |
Definition at line 68 of file noarbsabr.hpp.
const Real nu_min = 0.01 |
Definition at line 69 of file noarbsabr.hpp.
const Real nu_max = 0.80 |
Definition at line 70 of file noarbsabr.hpp.
const Real rho_min = -0.99 |
Definition at line 71 of file noarbsabr.hpp.
const Real rho_max = 0.99 |
Definition at line 72 of file noarbsabr.hpp.
const Real phiByTau_cutoff = 124.587 |
Definition at line 76 of file noarbsabr.hpp.
const Real nsim = 2500000.0 |
Definition at line 79 of file noarbsabr.hpp.
const Real tiny_prob = 1E-5 |
Definition at line 82 of file noarbsabr.hpp.
const Real strike_min = 1E-6 |
Definition at line 84 of file noarbsabr.hpp.
const Real i_accuracy = 1E-7 |
Definition at line 87 of file noarbsabr.hpp.
const Size i_max_iterations = 10000 |
Definition at line 88 of file noarbsabr.hpp.
const Real forward_accuracy = 1E-6 |
Definition at line 91 of file noarbsabr.hpp.
const Real forward_search_step = 0.0010 |
Definition at line 94 of file noarbsabr.hpp.
const Real density_lower_bound = 1E-50 |
Definition at line 96 of file noarbsabr.hpp.
const Real density_threshold = 1E-100 |
Definition at line 98 of file noarbsabr.hpp.