sabr.hpp

来自「有很多的函数库」· HPP 代码 · 共 57 行

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2006 Ferdinando Ametrano
 Copyright (C) 2006 Mario Pucci
 Copyright (C) 2006 StatPro Italia srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <[e-mail]>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file sabr.hpp
    \brief SABR functions
*/

#ifndef quantlib_sabr_hpp
#define quantlib_sabr_hpp

#include <ql/types.hpp>

namespace QuantLib {

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

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

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

}

#endif