net.finmath.functions

Class SABRModel

java.lang.Object

net.finmath.functions.SABRModel

public class SABRModel
extends Object

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
static double[]	sabrCalibrateParameterForImpliedNormalVols(double underlying, double maturity, double[] givenStrikes, double[] givenVolatilities)
static double[]	sabrCalibrateParameterForImpliedNormalVols(double underlying, double maturity, double[] givenStrikes, double[] givenVolatilities, double[] parameterLowerBound, double[] parameterUpperBound)
static double[]	sabrCalibrateParameterForImpliedNormalVols(double underlying, double maturity, double[] givenStrikes, double[] givenVolatilities, double[] parameterInitialValues, double[] parameterSteps, double[] parameterLowerBound, double[] parameterUpperBound)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

sabrCalibrateParameterForImpliedNormalVols

public static double[] sabrCalibrateParameterForImpliedNormalVols(double underlying,
                                                                  double maturity,
                                                                  double[] givenStrikes,
                                                                  double[] givenVolatilities)
                                                           throws SolverException

Throws:

SolverException

sabrCalibrateParameterForImpliedNormalVols

public static double[] sabrCalibrateParameterForImpliedNormalVols(double underlying,
                                                                  double maturity,
                                                                  double[] givenStrikes,
                                                                  double[] givenVolatilities,
                                                                  double[] parameterLowerBound,
                                                                  double[] parameterUpperBound)
                                                           throws SolverException

Throws:

SolverException

sabrCalibrateParameterForImpliedNormalVols

public static double[] sabrCalibrateParameterForImpliedNormalVols(double underlying,
                                                                  double maturity,
                                                                  double[] givenStrikes,
                                                                  double[] givenVolatilities,
                                                                  double[] parameterInitialValues,
                                                                  double[] parameterSteps,
                                                                  double[] parameterLowerBound,
                                                                  double[] parameterUpperBound)
                                                           throws SolverException

Throws:

SolverException