NormalSabrSmileSection Class Reference

#include <qle/models/normalsabrsmilesection.hpp>

Inheritance diagram for NormalSabrSmileSection:

Collaboration diagram for NormalSabrSmileSection:

Public Member Functions
	NormalSabrSmileSection (Time timeToExpiry, Rate forward, const std::vector< Real > &sabrParameters)
	NormalSabrSmileSection (const Date &d, Rate forward, const std::vector< Real > &sabrParameters, const DayCounter &dc=Actual365Fixed())
Real	minStrike () const override
Real	maxStrike () const override
Real	atmLevel () const override

Protected Member Functions
Real	varianceImpl (Rate strike) const override
Volatility	volatilityImpl (Rate strike) const override

Private Attributes
Real	alpha_
Real	nu_
Real	rho_
Real	forward_

Detailed Description

Definition at line 32 of file normalsabrsmilesection.hpp.

Constructor & Destructor Documentation

NormalSabrSmileSection() [1/2]

NormalSabrSmileSection	(	Time	timeToExpiry,
		Rate	forward,
		const std::vector< Real > &	sabrParameters
	)

Definition at line 27 of file normalsabrsmilesection.cpp.

    : SmileSection(timeToExpiry, DayCounter(), Normal), forward_(forward) {
    alpha_ = sabrParams[0];
    nu_ = sabrParams[1];
    rho_ = sabrParams[2];
    // validateSabrParameters(alpha_, 0.0, nu_, rho_);
}

NormalSabrSmileSection() [2/2]

NormalSabrSmileSection	(	const Date &	d,
		Rate	forward,
		const std::vector< Real > &	sabrParameters,
		const DayCounter &	dc = Actual365Fixed()
	)

Definition at line 35 of file normalsabrsmilesection.cpp.

    : SmileSection(d, dc, Date(), Normal), forward_(forward) {
    alpha_ = sabrParams[0];
    nu_ = sabrParams[1];
    rho_ = sabrParams[2];
    // validateSabrParameters(alpha_, 0.0, nu_, rho_);
}

Member Function Documentation

minStrike()

Real minStrike ( ) const

override

Definition at line 37 of file normalsabrsmilesection.hpp.

{ return -QL_MAX_REAL; }

maxStrike()

Real maxStrike ( ) const

override

Definition at line 38 of file normalsabrsmilesection.hpp.

{ return QL_MAX_REAL; }

atmLevel()

Real atmLevel ( ) const

override

Definition at line 39 of file normalsabrsmilesection.hpp.

{ return forward_; }

varianceImpl()

Real varianceImpl ( Rate  strike ) const

overrideprotected

Definition at line 44 of file normalsabrsmilesection.cpp.

                                                           {
    Volatility vol = normalSabrVolatility(strike, forward_, exerciseTime(), alpha_, nu_, rho_);
    return vol * vol * exerciseTime();
}

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volatilityImpl()

Real volatilityImpl ( Rate  strike ) const

overrideprotected

Definition at line 49 of file normalsabrsmilesection.cpp.

                                                             {
    Real vol = normalSabrVolatility(strike, forward_, exerciseTime(), alpha_, nu_, rho_);
    return vol;
}

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Member Data Documentation

alpha_

Real alpha_

private

Definition at line 46 of file normalsabrsmilesection.hpp.

nu_

Real nu_

private

Definition at line 46 of file normalsabrsmilesection.hpp.

rho_

Real rho_

private

Definition at line 46 of file normalsabrsmilesection.hpp.

forward_

Real forward_

private

Definition at line 46 of file normalsabrsmilesection.hpp.