Struct ZabrShortMaturityNormal

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

QuantLib's short-maturity normal kernel for ZabrSmileSection<TEvaluation>: the option prices are Bachelier's on the model's normal volatility at the strike, and the volatility is the lognormal one implied from the out-of-the-money price, 0 where it can't be implied.

public readonly struct ZabrShortMaturityNormal : IZabrEvaluation

Implements

IZabrEvaluation

Inherited Members

ValueType.Equals(object)

ValueType.GetHashCode()

ValueType.ToString()

object.GetType()

object.Equals(object, object)

object.ReferenceEquals(object, object)