Skip to main content

alpha_from_atm

Function alpha_from_atm 

pub(crate) fn alpha_from_atm(
    formula: Named<SabrFormula>,
    forward: f64,
    atm_vol: f64,
    expiry_years: f64,
    beta: f64,
    rho: f64,
    nu: f64,
    shift: f64,
) -> PyResult<f64>
Expand description

The α that reproduces atm_vol at forward under formula.