28#ifndef quantlib_sabr_hpp
29#define quantlib_sabr_hpp
Real Time
continuous quantity with 1-year units
Real sabrVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, VolatilityType volatilityType)
Real unsafeShiftedSabrVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, Real shift, VolatilityType volatilityType)
Real unsafeSabrVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, VolatilityType volatilityType)
Real sabrFlochKennedyVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
Real unsafeSabrNormalVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
Real unsafeSabrLogNormalVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
void validateSabrParameters(Real alpha, Real beta, Real nu, Real rho)
Real shiftedSabrVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, Real shift, VolatilityType volatilityType)