ql/termstructures/volatilities/sabr.hpp File Reference


Detailed Description

SABR functions.

#include <ql/types.hpp>

Include dependency graph for sabr.hpp:


Namespaces

namespace  QuantLib

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)