yes, sabrVolatility (defined in termstructures / volatility / sabr.hpp)
Peter
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Gesendet: Montag, 27. September 2010 15:31
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Betreff: [Quantlib-users] SABR volatility
Hello,
I would like to know if in c++ exists a function having the same purpose of
qlSABRVolatility in qlXl.
I mean a function that, giving the list of SABR parameters, forwards and
expiry time, is able to return the corresponding volatility.
Thanks in advance,
Paolo
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