SABR smile interpolation between discrete volatility points. More...

#include <qle/models/normalsabrinterpolation.hpp>

Inheritance diagram for NormalSABRInterpolation:

Collaboration diagram for NormalSABRInterpolation:

Public Member Functions
template<class I1 , class I2 >
	NormalSABRInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real nu, Real rho, bool alphaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=true, const Size atmStrikeIndex=Null< Size >(), const bool implyAlphaFromAtmVol=false, const QuantLib::ext::shared_ptr< EndCriteria > &endCriteria=QuantLib::ext::shared_ptr< EndCriteria >(), const QuantLib::ext::shared_ptr< OptimizationMethod > &optMethod=QuantLib::ext::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0002, const bool useMaxError=false, const Size maxGuesses=50)

Real	expiry () const

Real	forward () const

Real	alpha () const

Real	nu () const

Real	rho () const

Real	rmsError () const

Real	maxError () const

const std::vector< Real > &	interpolationWeights () const

EndCriteria::Type	endCriteria ()

Private Attributes
QuantLib::ext::shared_ptr< QuantLib::detail::XABRCoeffHolder< detail::NormalSABRSpecs > >	coeffs_

Detailed Description

SABR smile interpolation between discrete volatility points.

Definition at line 109 of file normalsabrinterpolation.hpp.

Constructor & Destructor Documentation

◆ NormalSABRInterpolation()

NormalSABRInterpolation	(	const I1 &	xBegin,
		const I1 &	xEnd,
		const I2 &	yBegin,
		Time	t,
		const Real &	forward,
		Real	alpha,
		Real	nu,
		Real	rho,
		bool	alphaIsFixed,
		bool	nuIsFixed,
		bool	rhoIsFixed,
		bool	vegaWeighted = `true`,
		const Size	atmStrikeIndex = `Null<Size>()`,
		const bool	implyAlphaFromAtmVol = `false`,
		const QuantLib::ext::shared_ptr< EndCriteria > &	endCriteria = `QuantLib::ext::shared_ptr<EndCriteria>()`,
		const QuantLib::ext::shared_ptr< OptimizationMethod > &	optMethod = `QuantLib::ext::shared_ptr<OptimizationMethod>()`,
		const Real	errorAccept = `0.0002`,
		const bool	useMaxError = `false`,
		const Size	maxGuesses = `50`
	)

Definition at line 112 of file normalsabrinterpolation.hpp.

                                                                                                     {
 
        QL_REQUIRE(
            !implyAlphaFromAtmVol || atmStrikeIndex != Null<Real>(),
            "NormalSABRInterpolation: imply alpha from atm vol implies a) that the atm strike index must be given");
 
        std::vector<Real> addParams;
        if (implyAlphaFromAtmVol) {
            addParams.push_back(*std::next(yBegin, atmStrikeIndex));
        }
 
        impl_ = QuantLib::ext::shared_ptr<Interpolation::Impl>(
            new QuantLib::detail::XABRInterpolationImpl<I1, I2, detail::NormalSABRSpecs>(
                xBegin, xEnd, yBegin, t, forward, boost::assign::list_of(alpha)(nu)(rho),
                boost::assign::list_of(alphaIsFixed)(nuIsFixed)(rhoIsFixed), vegaWeighted, endCriteria, optMethod,
                errorAccept, useMaxError, maxGuesses, addParams));
        coeffs_ = QuantLib::ext::dynamic_pointer_cast<QuantLib::detail::XABRCoeffHolder<detail::NormalSABRSpecs>>(impl_);
    }