mafipy.function.sabr_cdf

mafipy.function.sabr_cdf(underlying, strike, maturity, alpha, beta, rho, nu)[source]

calculates value of c.d.f. when underlying follows SABR model.

Parameters:
  • underlying (float) –
  • strike (float) –
  • maturity (float) –
  • alpha (float) –
  • beta (float) –
  • rho (float) –
  • nu (float) –
Returns:

value of c.d.f. under SABR model.
Return type:

float.