mafipy.function.sabr_implied_vol_hagan_fhess_by_underlying

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

second derivative of Hagan’s SABR implied volatility formula with respect to underlying. See sabr_implied_vol_hagan().

Parameters:
  • underlying (float) –
  • strike (float) –
  • maturity (float) –
  • alpha (float) – must be positve.
  • beta (float) – must be within [0, 1].
  • rho (float) – must be within [-1, 1].
  • nu (float) – must be positive.
Returns:

second derivative of hagan implied volatility formula with respect to underlying.
Return type:

float