QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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SABR functions. More...
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Namespaces | |
namespace | QuantLib |
Functions | |
Real | unsafeSabrLogNormalVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho) |
Real | unsafeShiftedSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, Real shift, VolatilityType volatilityType) |
Real | unsafeSabrNormalVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho) |
Real | unsafeSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, VolatilityType volatilityType) |
Real | sabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, VolatilityType volatilityType) |
Real | shiftedSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, Real shift, VolatilityType volatilityType) |
Real | sabrFlochKennedyVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho) |
void | validateSabrParameters (Real alpha, Real beta, Real nu, Real rho) |
SABR functions.
Definition in file sabr.hpp.