QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Namespaces | Functions
sabr.hpp File Reference

SABR functions. More...

#include <ql/types.hpp>
#include <ql/termstructures/volatility/volatilitytype.hpp>

Go to the source code of this file.

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)
 

Detailed Description

SABR functions.

Definition in file sabr.hpp.