sabr normal

financepy.models.sabr_normal

Class

NormalSABR

NormalSABR(
    alpha: 'float',
    rho: 'float',
    nu: 'float',
)

Normal-volatility SABR with beta fixed at zero.

Methods

normal_vol


normal_vol(
    self,
    forward: 'float',
    strike: 'float',
    expiry: 'float',
) -> 'float'

No description available.

calibrate


calibrate(
    cls,
    forward,
    strikes,
    normal_vols,
    expiry,
    initial_guess = None,
)

Fit alpha, rho, nu to at least three observed normal volatilities.

Functions

normal_sabr_vol


normal_sabr_vol(
    forward,
    strike,
    expiry,
    alpha,
    rho,
    nu,
)

Hagan's beta=0 SABR normal (Bachelier) implied-volatility expansion. The beta=0 model permits negative forwards and strikes. Formula is alpha * z/x(z) * (1 + (2 - 3*rho**2)*nu**2*T/24), with z = nu*(forward-strike)/alpha.

Generated automatically from the FinancePy source code. Do not edit this file manually.