QuantLib: a free/open-source library for quantitative finance
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sabr.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006 Ferdinando Ametrano
5 Copyright (C) 2006 Mario Pucci
6 Copyright (C) 2006 StatPro Italia srl
7 Copyright (C) 2015 Peter Caspers
8 Copyright (C) 2019 Klaus Spanderen
9
10 This file is part of QuantLib, a free-software/open-source library
11 for financial quantitative analysts and developers - http://quantlib.org/
12
13 QuantLib is free software: you can redistribute it and/or modify it
14 under the terms of the QuantLib license. You should have received a
15 copy of the license along with this program; if not, please email
16 <quantlib-dev@lists.sf.net>. The license is also available online at
17 <http://quantlib.org/license.shtml>.
18
19 This program is distributed in the hope that it will be useful, but WITHOUT
20 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
21 FOR A PARTICULAR PURPOSE. See the license for more details.
22*/
23
24/*! \file sabr.hpp
25 \brief SABR functions
26*/
27
28#ifndef quantlib_sabr_hpp
29#define quantlib_sabr_hpp
30
31#include <ql/types.hpp>
33
34namespace QuantLib {
35
37 Rate forward,
38 Time expiryTime,
39 Real alpha,
40 Real beta,
41 Real nu,
42 Real rho);
43
45 Rate forward,
46 Time expiryTime,
47 Real alpha,
48 Real beta,
49 Real nu,
50 Real rho,
51 Real shift,
53
54 /* Normal SABR implemented according to
55 https://www2.deloitte.com/content/dam/Deloitte/global/Documents/Financial-Services/be-aers-fsi-sabr-sensitivities.pdf
56 */
58 Rate forward,
59 Time expiryTime,
60 Real alpha,
61 Real beta,
62 Real nu,
63 Real rho);
64
66 Rate forward,
67 Time expiryTime,
68 Real alpha,
69 Real beta,
70 Real nu,
71 Real rho,
73
75 Rate forward,
76 Time expiryTime,
77 Real alpha,
78 Real beta,
79 Real nu,
80 Real rho,
82
84 Rate forward,
85 Time expiryTime,
86 Real alpha,
87 Real beta,
88 Real nu,
89 Real rho,
90 Real shift,
92
94 Rate forward,
95 Time expiryTime,
96 Real alpha,
97 Real beta,
98 Real nu,
99 Real rho);
100
102 Real beta,
103 Real nu,
104 Real rho);
105}
106
107#endif
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
Real Rate
interest rates
Definition: types.hpp:70
Real rho
Definition: any.hpp:35
Real sabrVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, VolatilityType volatilityType)
Definition: sabr.cpp:159
Real unsafeShiftedSabrVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, Real shift, VolatilityType volatilityType)
Definition: sabr.cpp:74
Real unsafeSabrVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, VolatilityType volatilityType)
Definition: sabr.cpp:130
Real sabrFlochKennedyVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
Definition: sabr.cpp:252
Real unsafeSabrNormalVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
Definition: sabr.cpp:90
Real unsafeSabrLogNormalVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
Definition: sabr.cpp:33
void validateSabrParameters(Real alpha, Real beta, Real nu, Real rho)
Definition: sabr.cpp:145
Real shiftedSabrVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, Real shift, VolatilityType volatilityType)
Definition: sabr.cpp:178
Real beta
Definition: sabr.cpp:200
Real nu
Definition: sabr.cpp:200
Real alpha
Definition: sabr.cpp:200
Custom types.
volatility types