ZabrModel Class Reference

#include <zabr.hpp>

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Public Member Functions
	ZabrModel (Real expiryTime, Real forward, Real alpha, Real beta, Real nu, Real rho, Real gamma)
Real	localVolatility (Real f) const
std::vector< Real >	localVolatility (const std::vector< Real > &f) const
Real	fdPrice (Real strike) const
std::vector< Real >	fdPrice (const std::vector< Real > &strikes) const
Real	fullFdPrice (Real strike) const
Real	lognormalVolatility (Real strike) const
std::vector< Real >	lognormalVolatility (const std::vector< Real > &strikes) const
Real	normalVolatility (Real strike) const
std::vector< Real >	normalVolatility (const std::vector< Real > &strikes) const
Real	forward () const
Real	expiryTime () const
Real	alpha () const
Real	beta () const
Real	nu () const
Real	rho () const
Real	gamma () const

Private Member Functions
Real	x (Real strike) const
std::vector< Real >	x (const std::vector< Real > &strikes) const
Real	y (Real strike) const
Real	F (Real y, Real u) const
Real	lognormalVolatilityHelper (Real strike, Real x) const
Real	normalVolatilityHelper (Real strike, Real x) const
Real	localVolatilityHelper (Real f, Real x) const

Private Attributes
const Real	expiryTime_
const Real	forward_
const Real	alpha_
const Real	beta_
const Real	nu_
const Real	rho_
const Real	gamma_

Detailed Description

Definition at line 38 of file zabr.hpp.

Constructor & Destructor Documentation

ZabrModel()

ZabrModel	(	Real	expiryTime,
		Real	forward,
		Real	alpha,
		Real	beta,
		Real	nu,
		Real	rho,
		Real	gamma
	)

Definition at line 42 of file zabr.cpp.

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Member Function Documentation

localVolatility() [1/2]

Real localVolatility

(

Real

f

)

const

Definition at line 103 of file zabr.cpp.

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localVolatility() [2/2]

std::vector< Real > localVolatility

(

const std::vector< Real > &

f

)

const

Definition at line 107 of file zabr.cpp.

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fdPrice() [1/2]

Real fdPrice

(

Real

strike

)

const

Definition at line 115 of file zabr.cpp.

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fdPrice() [2/2]

std::vector< Real > fdPrice

(

const std::vector< Real > &

strikes

)

const

Definition at line 119 of file zabr.cpp.

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fullFdPrice()

Real fullFdPrice

(

Real

strike

)

const

Definition at line 199 of file zabr.cpp.

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lognormalVolatility() [1/2]

Real lognormalVolatility

(

Real

strike

)

const

Definition at line 65 of file zabr.cpp.

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lognormalVolatility() [2/2]

std::vector< Real > lognormalVolatility

(

const std::vector< Real > &

strikes

)

const

Definition at line 69 of file zabr.cpp.

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normalVolatility() [1/2]

Real normalVolatility

(

Real

strike

)

const

Definition at line 84 of file zabr.cpp.

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normalVolatility() [2/2]

std::vector< Real > normalVolatility

(

const std::vector< Real > &

strikes

)

const

Definition at line 88 of file zabr.cpp.

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forward()

Real forward

(

)

const

Definition at line 57 of file zabr.hpp.

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expiryTime()

Real expiryTime

(

)

const

Definition at line 58 of file zabr.hpp.

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alpha()

Real alpha

(

)

const

Definition at line 59 of file zabr.hpp.

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beta()

Real beta

(

)

const

Definition at line 60 of file zabr.hpp.

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nu()

Real nu

(

)

const

Definition at line 61 of file zabr.hpp.

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rho()

Real rho

(

)

const

Definition at line 62 of file zabr.hpp.

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gamma()

Real gamma

(

)

const

Definition at line 63 of file zabr.hpp.

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x() [1/2]

Real x ( Real  strike ) const

private

Definition at line 311 of file zabr.cpp.

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x() [2/2]

std::vector< Real > x ( const std::vector< Real > &  strikes ) const

private

Definition at line 315 of file zabr.cpp.

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y()

Real y ( Real  strike ) const

private

Definition at line 362 of file zabr.cpp.

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F()

Real F ( Real  y, Real  u  ) const

private

Definition at line 376 of file zabr.cpp.

lognormalVolatilityHelper()

Real lognormalVolatilityHelper ( Real  strike, Real  x  ) const

private

Definition at line 57 of file zabr.cpp.

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normalVolatilityHelper()

Real normalVolatilityHelper ( Real  strike, Real  x  ) const

private

Definition at line 77 of file zabr.cpp.

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localVolatilityHelper()

Real localVolatilityHelper ( Real  f, Real  x  ) const

private

Definition at line 96 of file zabr.cpp.

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Member Data Documentation

expiryTime_

const Real expiryTime_

private

Definition at line 66 of file zabr.hpp.

forward_

const Real forward_

private

Definition at line 66 of file zabr.hpp.

alpha_

const Real alpha_

private

Definition at line 67 of file zabr.hpp.

beta_

const Real beta_

private

Definition at line 67 of file zabr.hpp.

nu_

const Real nu_

private

Definition at line 67 of file zabr.hpp.

rho_

const Real rho_

private

Definition at line 67 of file zabr.hpp.

gamma_

const Real gamma_

private

Definition at line 68 of file zabr.hpp.