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< GaussLobattoIntegral >	integrator_

Detailed Description

Definition at line 100 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 107 of file noarbsabr.hpp.

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forward()

Real forward

(

)

const

Definition at line 111 of file noarbsabr.hpp.

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numericalForward()

Real numericalForward

(

)

const

Definition at line 112 of file noarbsabr.hpp.

expiryTime()

Real expiryTime

(

)

const

Definition at line 113 of file noarbsabr.hpp.

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alpha()

Real alpha

(

)

const

Definition at line 114 of file noarbsabr.hpp.

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beta()

Real beta

(

)

const

Definition at line 115 of file noarbsabr.hpp.

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nu()

Real nu

(

)

const

Definition at line 116 of file noarbsabr.hpp.

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rho()

Real rho

(

)

const

Definition at line 117 of file noarbsabr.hpp.

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absorptionProbability()

Real absorptionProbability

(

)

const

Definition at line 119 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 124 of file noarbsabr.hpp.

externalForward_

const Real externalForward_

private

Definition at line 124 of file noarbsabr.hpp.

alpha_

const Real alpha_

private

Definition at line 125 of file noarbsabr.hpp.

beta_

const Real beta_

private

Definition at line 125 of file noarbsabr.hpp.

nu_

const Real nu_

private

Definition at line 125 of file noarbsabr.hpp.

rho_

const Real rho_

private

Definition at line 125 of file noarbsabr.hpp.

absProb_

Real absProb_

private

Definition at line 126 of file noarbsabr.hpp.

fmin_

Real fmin_

private

Definition at line 126 of file noarbsabr.hpp.

fmax_

Real fmax_

private

Definition at line 126 of file noarbsabr.hpp.

forward_

Real forward_

mutableprivate

Definition at line 127 of file noarbsabr.hpp.

numericalIntegralOverP_

Real numericalIntegralOverP_

private

Definition at line 127 of file noarbsabr.hpp.

numericalForward_

Real numericalForward_

mutableprivate

Definition at line 128 of file noarbsabr.hpp.

integrator_

ext::shared_ptr<GaussLobattoIntegral> integrator_

private

Definition at line 129 of file noarbsabr.hpp.