Class SABR

Defined in File sabr.hpp

Inheritance Relationships

Derived Type

public otyca::SABR1 (Class SABR1)

Class Documentation

class SABR

Subclassed by otyca::SABR1

Public Functions

inline SABR()

inline SABR(double alpha, double beta, double rho, double nu)

double volatility(double F, double K, double T) const

Protected Attributes

double _alpha

double _beta

double _rho

double _nu