External module "ql/termstructures/volatility/sabr"

Index

Functions

Functions

sabrVolatility

sabrVolatility(strike: Rate, forward: Rate, expiryTime: Time, alpha: Real, beta: Real, nu: Real, rho: Real): Real

- Defined in ql/termstructures/volatility/sabr.ts:53
Parameters
- strike: Rate
- forward: Rate
- expiryTime: Time
- alpha: Real
- beta: Real
- nu: Real
- rho: Real
Returns Real

shiftedSabrVolatility

shiftedSabrVolatility(strike: Rate, forward: Rate, expiryTime: Time, alpha: Real, beta: Real, nu: Real, rho: Real, shift: Real): Real

- Defined in ql/termstructures/volatility/sabr.ts:72
Parameters
- strike: Rate
- forward: Rate
- expiryTime: Time
- alpha: Real
- beta: Real
- nu: Real
- rho: Real
- shift: Real
Returns Real

unsafeSabrVolatility

unsafeSabrVolatility(strike: Rate, forward: Rate, expiryTime: Time, alpha: Real, beta: Real, nu: Real, rho: Real): Real

- Defined in ql/termstructures/volatility/sabr.ts:9
Parameters
- strike: Rate
- forward: Rate
- expiryTime: Time
- alpha: Real
- beta: Real
- nu: Real
- rho: Real
Returns Real

unsafeShiftedSabrVolatility

unsafeShiftedSabrVolatility(strike: Rate, forward: Rate, expiryTime: Time, alpha: Real, beta: Real, nu: Real, rho: Real, shift: Real): Real

- Defined in ql/termstructures/volatility/sabr.ts:46
Parameters
- strike: Rate
- forward: Rate
- expiryTime: Time
- alpha: Real
- beta: Real
- nu: Real
- rho: Real
- shift: Real
Returns Real

validateSabrParameters

validateSabrParameters(alpha: Real, beta: Real, nu: Real, rho: Real): void

- Defined in ql/termstructures/volatility/sabr.ts:93
Parameters
- alpha: Real
- beta: Real
- nu: Real
- rho: Real
Returns void