Nus Guess


Key Nus Guess in
SABR Model refers to a table of values, where each of them applies to a single forward rate and represents the corresponding Nu Guess
Expects an object of type
Table2D, of which the two dimensions are spanned by N₁ forward rate starts and N₂ forward rate tenors, all of which must be expressed as objects of type Step
While the two axes can be in any order, the wizard constructs the default table so that the first dimension spans the option expiries carrying the title #Expiry and the second the swap tenors carrying the title #SwapMat.