QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Variables
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 64 of file noarbsabr.hpp.

◆ beta_max

const Real beta_max = 0.99

Definition at line 65 of file noarbsabr.hpp.

◆ expiryTime_max

const Real expiryTime_max = 30.0

Definition at line 66 of file noarbsabr.hpp.

◆ sigmaI_min

const Real sigmaI_min = 0.05

Definition at line 67 of file noarbsabr.hpp.

◆ sigmaI_max

const Real sigmaI_max = 1.00

Definition at line 68 of file noarbsabr.hpp.

◆ nu_min

const Real nu_min = 0.01

Definition at line 69 of file noarbsabr.hpp.

◆ nu_max

const Real nu_max = 0.80

Definition at line 70 of file noarbsabr.hpp.

◆ rho_min

const Real rho_min = -0.99

Definition at line 71 of file noarbsabr.hpp.

◆ rho_max

const Real rho_max = 0.99

Definition at line 72 of file noarbsabr.hpp.

◆ phiByTau_cutoff

const Real phiByTau_cutoff = 124.587

Definition at line 76 of file noarbsabr.hpp.

◆ nsim

const Real nsim = 2500000.0

Definition at line 79 of file noarbsabr.hpp.

◆ tiny_prob

const Real tiny_prob = 1E-5

Definition at line 82 of file noarbsabr.hpp.

◆ strike_min

const Real strike_min = 1E-6

Definition at line 84 of file noarbsabr.hpp.

◆ i_accuracy

const Real i_accuracy = 1E-7

Definition at line 87 of file noarbsabr.hpp.

◆ i_max_iterations

const Size i_max_iterations = 10000

Definition at line 88 of file noarbsabr.hpp.

◆ forward_accuracy

const Real forward_accuracy = 1E-6

Definition at line 91 of file noarbsabr.hpp.

◆ forward_search_step

const Real forward_search_step = 0.0010

Definition at line 94 of file noarbsabr.hpp.

◆ density_lower_bound

const Real density_lower_bound = 1E-50

Definition at line 96 of file noarbsabr.hpp.

◆ density_threshold

const Real density_threshold = 1E-100

Definition at line 98 of file noarbsabr.hpp.