Function alpha_from_atm
pub fn alpha_from_atm<R: Scalar>(
formula: SabrFormula,
forward: R,
atm_vol: R,
expiry_years: f64,
beta: f64,
rho: R,
nu: R,
shift: f64,
) -> Result<R, SabrError>Expand description
The α that reproduces atm_vol at forward: the smallest positive real
root of the ATM cubic, polished by Newton on passive values, then carried
into the mode by two Newton steps on the cubic with its coefficients in the
mode — exact derivatives to second order (the implicit function theorem,
without differentiating a root search).
§Errors
SabrError::NoAlpha where no positive root exists; SabrError::Domain
for a shifted forward ≤ 0 under a shifted formula.