Class SABR

constructor

• new SABR(t: Time, forward: Real, alpha: Real, beta: Real, nu: Real, rho: Real, alphaIsFixed: boolean, betaIsFixed: boolean, nuIsFixed: boolean, rhoIsFixed: boolean, vegaWeighted?: boolean, endCriteria?: EndCriteria, optMethod?: OptimizationMethod, errorAccept?: Real, useMaxError?: boolean, maxGuesses?: Size, shift?: Real): SABR

• Parameters

  • t: Time

  • forward: Real

  • alpha: Real

  • beta: Real

  • nu: Real

  • rho: Real

  • alphaIsFixed: boolean

  • betaIsFixed: boolean

  • nuIsFixed: boolean

  • rhoIsFixed: boolean

  • Default value vegaWeighted: boolean = false

  • Default value endCriteria: EndCriteria = null

  • Default value optMethod: OptimizationMethod = null

  • Default value errorAccept: Real = 0.002

  • Default value useMaxError: boolean = false

  • Default value maxGuesses: Size = 50

  • Default value shift: Real = 0

  Returns SABR