Description Usage Arguments Value References Examples
Calculate the equivalent BS volatility (Hagan et al. 2002) for the Stochatic-Alpha-Beta-Rho (SABR) model
1 2 3 4 5 6 7 8 9 10 11 12 13 14 |
strike |
(vector of) strike price |
spot |
(vector of) spot price |
texp |
(vector of) time to expiry |
sigma |
(vector of) volatility |
vov |
(vector of) vol-of-vol |
rho |
(vector of) correlation |
beta |
(vector of) beta |
intr |
interest rate (domestic interest rate) |
divr |
convenience rate (foreign interest rate) |
cp |
call/put sign. |
forward |
forward price. If given, |
df |
discount factor. If given, |
BS volatility or option price based on cp
Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing Smile Risk. Wilmott, September, 84-108.
1 2 3 4 5 6 7 8 | sigma <- 0.25
vov <- 0.3
rho <- -0.8
beta <- 0.3
texp <- 10
strike <- seq(0.1, 2, 0.1)
FER::SabrHagan2002(strike, 1, texp, sigma, vov, rho, beta)
FER::SabrHagan2002(strike, 1, texp, sigma, vov, rho, beta, cp=1)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.