#include <ql/experimental/volatility/zabr.hpp>
Definition at line 38 of file zabr.hpp.
◆ ZabrModel()
◆ localVolatility() [1/2]
◆ localVolatility() [2/2]
std::vector< Real > localVolatility |
( |
const std::vector< Real > & |
f | ) |
const |
◆ fdPrice() [1/2]
◆ fdPrice() [2/2]
std::vector< Real > fdPrice |
( |
const std::vector< Real > & |
strikes | ) |
const |
◆ fullFdPrice()
◆ lognormalVolatility() [1/2]
Real lognormalVolatility |
( |
Real |
strike | ) |
const |
◆ lognormalVolatility() [2/2]
std::vector< Real > lognormalVolatility |
( |
const std::vector< Real > & |
strikes | ) |
const |
◆ normalVolatility() [1/2]
Real normalVolatility |
( |
Real |
strike | ) |
const |
◆ normalVolatility() [2/2]
std::vector< Real > normalVolatility |
( |
const std::vector< Real > & |
strikes | ) |
const |
◆ forward()
◆ expiryTime()
Real expiryTime |
( |
| ) |
const |
◆ alpha()
◆ beta()
◆ nu()
◆ rho()
◆ gamma()
◆ x() [1/2]
◆ x() [2/2]
std::vector< Real > x |
( |
const std::vector< Real > & |
strikes | ) |
const |
|
private |
◆ y()
◆ F()
◆ lognormalVolatilityHelper()
Real lognormalVolatilityHelper |
( |
Real |
strike, |
|
|
Real |
x |
|
) |
| const |
|
private |
◆ normalVolatilityHelper()
◆ localVolatilityHelper()
◆ expiryTime_
◆ forward_
◆ alpha_
◆ beta_
◆ nu_
◆ rho_
◆ gamma_