QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <zabr.hpp>
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< Real > | localVolatility (const std::vector< Real > &f) const |
Real | fdPrice (Real strike) const |
std::vector< Real > | fdPrice (const std::vector< Real > &strikes) const |
Real | fullFdPrice (Real strike) const |
Real | lognormalVolatility (Real strike) const |
std::vector< Real > | lognormalVolatility (const std::vector< Real > &strikes) const |
Real | normalVolatility (Real strike) const |
std::vector< Real > | normalVolatility (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< Real > | x (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_ |
Real forward | ( | ) | const |
Real expiryTime | ( | ) | const |
Real alpha | ( | ) | const |
Real beta | ( | ) | const |
Real nu | ( | ) | const |
Real rho | ( | ) | const |
Real gamma | ( | ) | const |