Last updated: 2023-03-16.

Module: tf_quant_finance.models.sabr.approximations

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Approximate analytic solutions to the Sabr model.

Classes

class SabrApproximationType: Approximation to the SABR model.

class SabrImpliedVolatilityType: The implied volality arising from the SABR approximate solution.

Functions

calibration(...): Calibrates the SABR model using European option prices.

european_option_price(...): Computes the approximate European option price under the SABR model.

implied_volatility(...): Computes the implied volatility under the SABR model.