Last updated: 2023-03-16.
tf_quant_finance.models.sabr.approximations.SabrApproximationType#
Approximation to the SABR model.
HAGAN: Using the Hagan approximation [1].
References#
[1] Hagan et al, Managing Smile Risk, Wilmott (2002), 1:84-108
Last updated: 2023-03-16.
Approximation to the SABR model.
HAGAN: Using the Hagan approximation [1].
[1] Hagan et al, Managing Smile Risk, Wilmott (2002), 1:84-108