normal SABR model implied volatility approximation
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#include <ql/types.hpp>
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Real | normalSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real nu, Real rho) |
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Real | normalSabrAlphaFromAtmVol (Rate forward, Time expiryTime, Real atmVol, Real nu, Real rho) |
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Real | normalFreeBoundarySabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real nu, Real rho) |
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normal SABR model implied volatility approximation