SABR

SabrSmileSection

ql.SabrSmileSection(date, fwd, [alpha, beta, nu, rho, ]dayCounter, Real)

ql.SabrSmileSection(time, fwd, [alpha, beta, nu, rho, ]dayCounter, Real)

alpha = 1.63
beta = 0.6
nu = 3.3
rho = 0.00002

ql.SabrSmileSection(17/365, 120, [alpha, beta, nu, rho])

sabrVolatility

ql.sabrVolatility(strike, forward, expiryTime, alpha, beta, nu, rho)

alpha = 1.63
beta = 0.6
nu = 3.3
rho = 0.00002
ql.sabrVolatility(106, 120, 17/365, alpha, beta, nu, rho)

shiftedSabrVolatility

ql.shiftedSabrVolatility(strike, forward, expiryTime, alpha, beta, nu, rho, shift)

alpha = 1.63
beta = 0.6
nu = 3.3
rho = 0.00002
shift = 50

ql.shiftedSabrVolatility(106, 120, 17/365, alpha, beta, nu, rho, shift)

sabrFlochKennedyVolatility

ql.sabrFlochKennedyVolatility(strike, forward, expiryTime, alpha, beta, nu, rho)

alpha = 0.01
beta = 0.01
nu = 0.01
rho = 0.01

ql.sabrFlochKennedyVolatility(0.01,0.01, 5, alpha, beta, nu, rho)