Class ZabrModel

Hierarchy

ZabrModel

Index

Constructors

constructor

Properties

Constructors

constructor

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

- Defined in ql/experimental/volatility/zabr.ts:28
Parameters
- expiryTime: Real
- forward: Real
- alpha: Real
- beta: Real
- nu: Real
- rho: Real
- gamma: Real
Returns ZabrModel

Properties

Private _alpha

_alpha: Real

Private _beta

_beta: Real

Private _expiryTime

_expiryTime: Real

Private _forward

_forward: Real

Private _gamma

_gamma: Real

Private _nu

_nu: Real

Private _rho

_rho: Real

Methods

Private F

F(y: Real, u: Real): Real

- Defined in ql/experimental/volatility/zabr.ts:384
Parameters
- y: Real
- u: Real
Returns Real

alpha

alpha(): Real

- Defined in ql/experimental/volatility/zabr.ts:285
Returns Real

beta

beta(): Real

- Defined in ql/experimental/volatility/zabr.ts:289
Returns Real

expiryTime

expiryTime(): Real

- Defined in ql/experimental/volatility/zabr.ts:281
Returns Real

fdPrice1

fdPrice1(strike: Real): Real

- Defined in ql/experimental/volatility/zabr.ts:66
Parameters
- strike: Real
Returns Real

fdPrice2

fdPrice2(strikes: Real[]): Real[]

- Defined in ql/experimental/volatility/zabr.ts:70
Parameters
- strikes: Real[]
Returns Real[]

forward

forward(): Real

- Defined in ql/experimental/volatility/zabr.ts:277
Returns Real

fullFdPrice

fullFdPrice(strike: Real): Real

- Defined in ql/experimental/volatility/zabr.ts:137
Parameters
- strike: Real
Returns Real

gamma

gamma(): Real

- Defined in ql/experimental/volatility/zabr.ts:301
Returns Real

localVolatility1

localVolatility1(f: Real): Real

- Defined in ql/experimental/volatility/zabr.ts:53
Parameters
- f: Real
Returns Real

localVolatility2

localVolatility2(f: Real[]): Real[]

- Defined in ql/experimental/volatility/zabr.ts:57
Parameters
- f: Real[]
Returns Real[]

Private localVolatilityHelper

localVolatilityHelper(f: Real, x: Real): Real

- Defined in ql/experimental/volatility/zabr.ts:414
Parameters
- f: Real
- x: Real
Returns Real

lognormalVolatility1

lognormalVolatility1(strike: Real): Real

- Defined in ql/experimental/volatility/zabr.ts:251
Parameters
- strike: Real
Returns Real

lognormalVolatility2

lognormalVolatility2(strikes: Real[]): Real[]

- Defined in ql/experimental/volatility/zabr.ts:255
Parameters
- strikes: Real[]
Returns Real[]

Private lognormalVolatilityHelper

lognormalVolatilityHelper(strike: Real, x: Real): Real

- Defined in ql/experimental/volatility/zabr.ts:398
Parameters
- strike: Real
- x: Real
Returns Real

normalVolatility1

normalVolatility1(strike: Real): Real

- Defined in ql/experimental/volatility/zabr.ts:264
Parameters
- strike: Real
Returns Real

normalVolatility2

normalVolatility2(strikes: Real[]): Real[]

- Defined in ql/experimental/volatility/zabr.ts:268
Parameters
- strikes: Real[]
Returns Real[]

Private normalVolatilityHelper

normalVolatilityHelper(strike: Real, x: Real): Real

- Defined in ql/experimental/volatility/zabr.ts:406
Parameters
- strike: Real
- x: Real
Returns Real

nu

nu(): Real

- Defined in ql/experimental/volatility/zabr.ts:293
Returns Real

rho

rho(): Real

- Defined in ql/experimental/volatility/zabr.ts:297
Returns Real

Protected x1

x1(strike: Real): Real

- Defined in ql/experimental/volatility/zabr.ts:305
Parameters
- strike: Real
Returns Real

Private x2

x2(strikes: Real[]): Real[]

- Defined in ql/experimental/volatility/zabr.ts:309
Parameters
- strikes: Real[]
Returns Real[]

Private y

y(strike: Real): Real

- Defined in ql/experimental/volatility/zabr.ts:371
Parameters
- strike: Real
Returns Real