A free/open-source library for quantitative finance
Version 1.0.1
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The QuantLib group
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Examples
ql/termstructures/volatility/sabr.hpp File Reference
SABR functions.
More...
#include <
ql/types.hpp
>
Include dependency graph for sabr.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.