sabr.hpp File Reference

SABR functions. More...

#include <ql/types.hpp>
#include <ql/termstructures/volatility/volatilitytype.hpp>

Go to the source code of this file.

Namespaces
namespace	QuantLib

Functions
Real	unsafeSabrLogNormalVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
Real	unsafeShiftedSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, Real shift, VolatilityType volatilityType)
Real	unsafeSabrNormalVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
Real	unsafeSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, VolatilityType volatilityType)
Real	sabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, VolatilityType volatilityType)
Real	shiftedSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, Real shift, VolatilityType volatilityType)
Real	sabrFlochKennedyVolatility (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.

Definition in file sabr.hpp.