Class SABRWrapper

Hierarchy

SABRWrapper

Index

Constructors

constructor

Properties

Methods

volatility

Constructors

constructor

new SABRWrapper(t: Time, forward: Real, params: Real[], addParams: Real[]): SABRWrapper

- Defined in ql/math/interpolations/sabrinterpolation.ts:16
Parameters
- t: Time
- forward: Real
- params: Real[]
- addParams: Real[]
Returns SABRWrapper

Properties

Private _forward

_forward: Real

Private _params

_params: Real[]

Private _shift

_shift: Real

Private _t

_t: Real

Methods

volatility

volatility(x: Real): Real

- Defined in ql/math/interpolations/sabrinterpolation.ts:30
Parameters
- x: Real
Returns Real