QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <noarbsabr.hpp>
Public Member Functions | |
NoArbSabrModel (Real expiryTime, Real forward, Real alpha, Real beta, Real nu, Real rho) | |
Real | optionPrice (Real strike) const |
Real | digitalOptionPrice (Real strike) const |
Real | density (const Real strike) const |
Real | forward () const |
Real | numericalForward () const |
Real | expiryTime () const |
Real | alpha () const |
Real | beta () const |
Real | nu () const |
Real | rho () const |
Real | absorptionProbability () const |
Private Member Functions | |
Real | p (Real f) const |
Real | forwardError (Real forward) const |
Private Attributes | |
const Real | expiryTime_ |
const Real | externalForward_ |
const Real | alpha_ |
const Real | beta_ |
const Real | nu_ |
const Real | rho_ |
Real | absProb_ |
Real | fmin_ |
Real | fmax_ |
Real | forward_ |
Real | numericalIntegralOverP_ |
Real | numericalForward_ |
ext::shared_ptr< GaussLobattoIntegral > | integrator_ |
Definition at line 102 of file noarbsabr.hpp.
Definition at line 116 of file noarbsabr.cpp.
Real forward | ( | ) | const |
Real numericalForward | ( | ) | const |
Definition at line 114 of file noarbsabr.hpp.
Real expiryTime | ( | ) | const |
Real alpha | ( | ) | const |
Real beta | ( | ) | const |
Real nu | ( | ) | const |
Real rho | ( | ) | const |
Real absorptionProbability | ( | ) | const |
Definition at line 121 of file noarbsabr.hpp.
Definition at line 143 of file noarbsabr.cpp.
Definition at line 136 of file noarbsabr.cpp.
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private |
Definition at line 126 of file noarbsabr.hpp.
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private |
Definition at line 126 of file noarbsabr.hpp.
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private |
Definition at line 127 of file noarbsabr.hpp.
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private |
Definition at line 127 of file noarbsabr.hpp.
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private |
Definition at line 127 of file noarbsabr.hpp.
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private |
Definition at line 127 of file noarbsabr.hpp.
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private |
Definition at line 128 of file noarbsabr.hpp.
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private |
Definition at line 128 of file noarbsabr.hpp.
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private |
Definition at line 128 of file noarbsabr.hpp.
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mutableprivate |
Definition at line 129 of file noarbsabr.hpp.
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private |
Definition at line 129 of file noarbsabr.hpp.
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mutableprivate |
Definition at line 130 of file noarbsabr.hpp.
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private |
Definition at line 131 of file noarbsabr.hpp.