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fully annotated source code - version 1.34
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Public Member Functions | Private Member Functions | Private Attributes | List of all members
NoArbSabrModel Class Reference

#include <noarbsabr.hpp>

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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< GaussLobattoIntegralintegrator_
 

Detailed Description

Definition at line 102 of file noarbsabr.hpp.

Constructor & Destructor Documentation

◆ NoArbSabrModel()

NoArbSabrModel ( Real  expiryTime,
Real  forward,
Real  alpha,
Real  beta,
Real  nu,
Real  rho 
)

Definition at line 50 of file noarbsabr.cpp.

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Member Function Documentation

◆ optionPrice()

Real optionPrice ( Real  strike) const

Definition at line 116 of file noarbsabr.cpp.

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◆ digitalOptionPrice()

Real digitalOptionPrice ( Real  strike) const

Definition at line 125 of file noarbsabr.cpp.

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◆ density()

Real density ( const Real  strike) const

Definition at line 109 of file noarbsabr.hpp.

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◆ forward()

Real forward ( ) const

Definition at line 113 of file noarbsabr.hpp.

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◆ numericalForward()

Real numericalForward ( ) const

Definition at line 114 of file noarbsabr.hpp.

◆ expiryTime()

Real expiryTime ( ) const

Definition at line 115 of file noarbsabr.hpp.

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◆ alpha()

Real alpha ( ) const

Definition at line 116 of file noarbsabr.hpp.

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◆ beta()

Real beta ( ) const

Definition at line 117 of file noarbsabr.hpp.

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◆ nu()

Real nu ( ) const

Definition at line 118 of file noarbsabr.hpp.

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◆ rho()

Real rho ( ) const

Definition at line 119 of file noarbsabr.hpp.

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◆ absorptionProbability()

Real absorptionProbability ( ) const

Definition at line 121 of file noarbsabr.hpp.

◆ p()

Real p ( Real  f) const
private

Definition at line 143 of file noarbsabr.cpp.

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◆ forwardError()

Real forwardError ( Real  forward) const
private

Definition at line 136 of file noarbsabr.cpp.

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Member Data Documentation

◆ expiryTime_

const Real expiryTime_
private

Definition at line 126 of file noarbsabr.hpp.

◆ externalForward_

const Real externalForward_
private

Definition at line 126 of file noarbsabr.hpp.

◆ alpha_

const Real alpha_
private

Definition at line 127 of file noarbsabr.hpp.

◆ beta_

const Real beta_
private

Definition at line 127 of file noarbsabr.hpp.

◆ nu_

const Real nu_
private

Definition at line 127 of file noarbsabr.hpp.

◆ rho_

const Real rho_
private

Definition at line 127 of file noarbsabr.hpp.

◆ absProb_

Real absProb_
private

Definition at line 128 of file noarbsabr.hpp.

◆ fmin_

Real fmin_
private

Definition at line 128 of file noarbsabr.hpp.

◆ fmax_

Real fmax_
private

Definition at line 128 of file noarbsabr.hpp.

◆ forward_

Real forward_
mutableprivate

Definition at line 129 of file noarbsabr.hpp.

◆ numericalIntegralOverP_

Real numericalIntegralOverP_
private

Definition at line 129 of file noarbsabr.hpp.

◆ numericalForward_

Real numericalForward_
mutableprivate

Definition at line 130 of file noarbsabr.hpp.

◆ integrator_

ext::shared_ptr<GaussLobattoIntegral> integrator_
private

Definition at line 131 of file noarbsabr.hpp.