Skip to main content

atm_cubic

Function atm_cubic 

fn atm_cubic<R: Scalar>(
    formula: SabrFormula,
    forward: R,
    atm_vol: R,
    expiry_years: f64,
    beta: f64,
    rho: R,
    nu: R,
    shift: f64,
) -> [R; 4]
Expand description

The ATM cubic c₁α³ + c₂α² + c₃α + c₄ (West 2005) whose root is the α that reproduces atm_vol at forward — σ_ATM(α) multiplied through by the ATM factor. Coefficients in the mode.