QuantLib::detail::NoArbSabrModel Namespace Reference

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

Variable Documentation

beta_min

const Real beta_min = 0.01

Definition at line 63 of file noarbsabr.hpp.

beta_max

const Real beta_max = 0.99

Definition at line 64 of file noarbsabr.hpp.

expiryTime_max

const Real expiryTime_max = 30.0

Definition at line 65 of file noarbsabr.hpp.

sigmaI_min

const Real sigmaI_min = 0.05

Definition at line 66 of file noarbsabr.hpp.

sigmaI_max

const Real sigmaI_max = 1.00

Definition at line 67 of file noarbsabr.hpp.

nu_min

const Real nu_min = 0.01

Definition at line 68 of file noarbsabr.hpp.

nu_max

const Real nu_max = 0.80

Definition at line 69 of file noarbsabr.hpp.

rho_min

const Real rho_min = -0.99

Definition at line 70 of file noarbsabr.hpp.

rho_max

const Real rho_max = 0.99

Definition at line 71 of file noarbsabr.hpp.

phiByTau_cutoff

const Real phiByTau_cutoff = 124.587

Definition at line 75 of file noarbsabr.hpp.

nsim

const Real nsim = 2500000.0

Definition at line 78 of file noarbsabr.hpp.

tiny_prob

const Real tiny_prob = 1E-5

Definition at line 81 of file noarbsabr.hpp.

strike_min

const Real strike_min = 1E-6

Definition at line 83 of file noarbsabr.hpp.

i_accuracy

const Real i_accuracy = 1E-7

Definition at line 86 of file noarbsabr.hpp.

i_max_iterations

const Size i_max_iterations = 10000

Definition at line 87 of file noarbsabr.hpp.

forward_accuracy

const Real forward_accuracy = 1E-6

Definition at line 90 of file noarbsabr.hpp.

forward_search_step

const Real forward_search_step = 0.0010

Definition at line 93 of file noarbsabr.hpp.

density_lower_bound

const Real density_lower_bound = 1E-50

Definition at line 95 of file noarbsabr.hpp.

density_threshold

const Real density_threshold = 1E-100

Definition at line 97 of file noarbsabr.hpp.