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Public Member Functions | Private Member Functions | Private Attributes | List of all members
ZabrModel Class Reference

#include <ql/experimental/volatility/zabr.hpp>

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Public Member Functions

 ZabrModel (Real expiryTime, Real forward, Real alpha, Real beta, Real nu, Real rho, Real gamma)
 
Real localVolatility (Real f) const
 
std::vector< ReallocalVolatility (const std::vector< Real > &f) const
 
Real fdPrice (Real strike) const
 
std::vector< RealfdPrice (const std::vector< Real > &strikes) const
 
Real fullFdPrice (Real strike) const
 
Real lognormalVolatility (Real strike) const
 
std::vector< ReallognormalVolatility (const std::vector< Real > &strikes) const
 
Real normalVolatility (Real strike) const
 
std::vector< RealnormalVolatility (const std::vector< Real > &strikes) const
 
Real forward () const
 
Real expiryTime () const
 
Real alpha () const
 
Real beta () const
 
Real nu () const
 
Real rho () const
 
Real gamma () const
 

Private Member Functions

Real x (Real strike) const
 
std::vector< Realx (const std::vector< Real > &strikes) const
 
Real y (Real strike) const
 
Real F (Real y, Real u) const
 
Real lognormalVolatilityHelper (Real strike, Real x) const
 
Real normalVolatilityHelper (Real strike, Real x) const
 
Real localVolatilityHelper (Real f, Real x) const
 

Private Attributes

const Real expiryTime_
 
const Real forward_
 
const Real alpha_
 
const Real beta_
 
const Real nu_
 
const Real rho_
 
const Real gamma_
 

Detailed Description

Definition at line 38 of file zabr.hpp.

Constructor & Destructor Documentation

◆ ZabrModel()

ZabrModel ( Real  expiryTime,
Real  forward,
Real  alpha,
Real  beta,
Real  nu,
Real  rho,
Real  gamma 
)

Definition at line 42 of file zabr.cpp.

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Member Function Documentation

◆ localVolatility() [1/2]

Real localVolatility ( Real  f) const

Definition at line 103 of file zabr.cpp.

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◆ localVolatility() [2/2]

std::vector< Real > localVolatility ( const std::vector< Real > &  f) const

Definition at line 107 of file zabr.cpp.

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◆ fdPrice() [1/2]

Real fdPrice ( Real  strike) const

Definition at line 115 of file zabr.cpp.

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◆ fdPrice() [2/2]

std::vector< Real > fdPrice ( const std::vector< Real > &  strikes) const

Definition at line 119 of file zabr.cpp.

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◆ fullFdPrice()

Real fullFdPrice ( Real  strike) const

Definition at line 199 of file zabr.cpp.

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◆ lognormalVolatility() [1/2]

Real lognormalVolatility ( Real  strike) const

Definition at line 65 of file zabr.cpp.

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◆ lognormalVolatility() [2/2]

std::vector< Real > lognormalVolatility ( const std::vector< Real > &  strikes) const

Definition at line 69 of file zabr.cpp.

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◆ normalVolatility() [1/2]

Real normalVolatility ( Real  strike) const

Definition at line 84 of file zabr.cpp.

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◆ normalVolatility() [2/2]

std::vector< Real > normalVolatility ( const std::vector< Real > &  strikes) const

Definition at line 88 of file zabr.cpp.

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◆ forward()

Real forward ( ) const

Definition at line 57 of file zabr.hpp.

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◆ expiryTime()

Real expiryTime ( ) const

Definition at line 58 of file zabr.hpp.

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◆ alpha()

Real alpha ( ) const

Definition at line 59 of file zabr.hpp.

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◆ beta()

Real beta ( ) const

Definition at line 60 of file zabr.hpp.

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◆ nu()

Real nu ( ) const

Definition at line 61 of file zabr.hpp.

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◆ rho()

Real rho ( ) const

Definition at line 62 of file zabr.hpp.

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◆ gamma()

Real gamma ( ) const

Definition at line 63 of file zabr.hpp.

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◆ x() [1/2]

Real x ( Real  strike) const
private

Definition at line 311 of file zabr.cpp.

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◆ x() [2/2]

std::vector< Real > x ( const std::vector< Real > &  strikes) const
private

Definition at line 315 of file zabr.cpp.

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◆ y()

Real y ( Real  strike) const
private

Definition at line 362 of file zabr.cpp.

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◆ F()

Real F ( Real  y,
Real  u 
) const
private

Definition at line 376 of file zabr.cpp.

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◆ lognormalVolatilityHelper()

Real lognormalVolatilityHelper ( Real  strike,
Real  x 
) const
private

Definition at line 57 of file zabr.cpp.

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◆ normalVolatilityHelper()

Real normalVolatilityHelper ( Real  strike,
Real  x 
) const
private

Definition at line 77 of file zabr.cpp.

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◆ localVolatilityHelper()

Real localVolatilityHelper ( Real  f,
Real  x 
) const
private

Definition at line 96 of file zabr.cpp.

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Member Data Documentation

◆ expiryTime_

const Real expiryTime_
private

Definition at line 66 of file zabr.hpp.

◆ forward_

const Real forward_
private

Definition at line 66 of file zabr.hpp.

◆ alpha_

const Real alpha_
private

Definition at line 67 of file zabr.hpp.

◆ beta_

const Real beta_
private

Definition at line 67 of file zabr.hpp.

◆ nu_

const Real nu_
private

Definition at line 67 of file zabr.hpp.

◆ rho_

const Real rho_
private

Definition at line 67 of file zabr.hpp.

◆ gamma_

const Real gamma_
private

Definition at line 68 of file zabr.hpp.