sabr (3) - Linux Manuals

sabr: SABR functions.

NAME

ql/termstructures/volatility/sabr.hpp - SABR functions.

SYNOPSIS

#include <ql/types.hpp>

Functions

Real unsafeSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)

Real sabrVolatility (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.

Author

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