tf_quant_finance.models.sabr.approximations.SabrImpliedVolatilityType

Contents

Last updated: 2023-03-16.

tf_quant_finance.models.sabr.approximations.SabrImpliedVolatilityType#

View source

The implied volality arising from the SABR approximate solution.

  • NORMAL: The volatility for the normal model, i.e. the sigma_n for a stochastic model of the underlying F behaving like:

    dF = sigma_n dW

  • LOGNORMAL: The volatility for the lognomal (aka Black) model, i.e. the sigma_B for a stochastic model of the underlying F behaving like:

    dF = sigma_b F dW

Class Variables#

  • LOGNORMAL

  • NORMAL

Contents