SabrParametricVolatility Class Reference

Inheritance diagram for SabrParametricVolatility:

Classes
struct	CalibrationResult

Public Types
enum class	ModelVariant {   Hagan2002Lognormal = 0 , Hagan2002Normal = 1 , Hagan2002NormalZeroBeta = 2 , Antonov2015FreeBoundaryNormal = 3 ,   KienitzLawsonSwaynePde = 4 , FlochKennedy = 5 }
Public Types inherited from ParametricVolatility
enum class	MarketModelType { Black76 }
enum class	MarketQuoteType { Price , NormalVolatility , ShiftedLognormalVolatility }
enum class	ParameterCalibration { Fixed , Calibrated , Implied }

Public Member Functions
	SabrParametricVolatility (const ModelVariant modelVariant, const std::vector< MarketSmile > marketSmiles, const MarketModelType marketModelType, const MarketQuoteType inputMarketQuoteType, const QuantLib::Handle< QuantLib::YieldTermStructure > discountCurve, const std::map< std::pair< QuantLib::Real, QuantLib::Real >, std::vector< std::pair< Real, ParameterCalibration > > > modelParameters={}, const std::map< QuantLib::Real, QuantLib::Real > &modelShift={}, const QuantLib::Size maxCalibrationAttempts=10, const QuantLib::Real exitEarlyErrorThreshold=0.005, const QuantLib::Real maxAcceptableError=0.05)
QuantLib::Real	evaluate (const QuantLib::Real timeToExpiry, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const QuantLib::Real forward, const MarketQuoteType outputMarketQuoteType, const QuantLib::Real outputLognormalShift=QuantLib::Null< QuantLib::Real >(), const QuantLib::ext::optional< QuantLib::Option::Type > outputOptionType=QuantLib::ext::nullopt) const override
const std::vector< Real > &	timeToEpiries () const
const std::vector< Real > &	underlyingLenghts () const
const QuantLib::Matrix &	alpha () const
const QuantLib::Matrix &	beta () const
const QuantLib::Matrix &	nu () const
const QuantLib::Matrix &	rho () const
const QuantLib::Matrix &	lognormalShift () const
const QuantLib::Matrix &	numberOfCalibrationAttempts () const
const QuantLib::Matrix &	calibrationError () const
const QuantLib::Matrix &	isInterpolated () const
const std::vector< CalibrationResult > &	calibrationResults () const
Public Member Functions inherited from ParametricVolatility
	ParametricVolatility (const std::vector< MarketSmile > marketSmiles, const MarketModelType marketModelType, const MarketQuoteType inputMarketQuoteType, const QuantLib::Handle< QuantLib::YieldTermStructure > discountCurve)
Real	convert (const Real inputQuote, const MarketQuoteType inputMarketQuoteType, const QuantLib::Real inputLognormalShift, const QuantLib::ext::optional< QuantLib::Option::Type > inputOptionType, const QuantLib::Real timeToExpiry, const QuantLib::Real strike, const QuantLib::Real forward, const MarketQuoteType outputMarketQuoteType, const QuantLib::Real outputLognormalShift, const QuantLib::ext::optional< QuantLib::Option::Type > outputOptionType=QuantLib::ext::nullopt) const

Additional Inherited Members
Protected Attributes inherited from ParametricVolatility
std::vector< MarketSmile >	marketSmiles_
MarketModelType	marketModelType_
MarketQuoteType	inputMarketQuoteType_
QuantLib::Handle< QuantLib::YieldTermStructure >	discountCurve_

Constructor & Destructor Documentation

SabrParametricVolatility()

SabrParametricVolatility	(	const ModelVariant	modelVariant,
		const std::vector< MarketSmile >	marketSmiles,
		const MarketModelType	marketModelType,
		const MarketQuoteType	inputMarketQuoteType,
		const QuantLib::Handle< QuantLib::YieldTermStructure >	discountCurve,
		const std::map< std::pair< QuantLib::Real, QuantLib::Real >, std::vector< std::pair< Real, ParameterCalibration > > >	modelParameters = {},
		const std::map< QuantLib::Real, QuantLib::Real > &	modelShift = {},
		const QuantLib::Size	maxCalibrationAttempts = 10,
		const QuantLib::Real	exitEarlyErrorThreshold = 0.005,
		const QuantLib::Real	maxAcceptableError = 0.05 )

• modelParameters are given by (tte, underlyingLen) as a vector of parameter values and whether the values are fixed
• modelShift is optional and defines the lognormal shift used within the model (if applicable), if not given, it is set to the input market smiles shift

Member Function Documentation

evaluate()

QuantLib::Real evaluate ( const QuantLib::Real timeToExpiry, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const QuantLib::Real forward, const MarketQuoteType outputMarketQuoteType, const QuantLib::Real outputLognormalShift = QuantLib::Null< QuantLib::Real >(), const QuantLib::ext::optional< QuantLib::Option::Type > outputOptionType = QuantLib::ext::nullopt ) const

overridevirtual

Implements ParametricVolatility.