org.jquantlib.math.interpolations

Class SABRInterpolation

java.lang.Object

org.jquantlib.math.interpolations.AbstractInterpolation

org.jquantlib.math.interpolations.SABRInterpolation

All Implemented Interfaces:

Extrapolator, Interpolation, Ops.DoubleOp

public class SABRInterpolation
extends AbstractInterpolation

SABR smile interpolation between discrete volatility points.

Nested Class Summary

Nested classes/interfaces inherited from interface org.jquantlib.math.interpolations.Interpolation

Interpolation.Interpolator

Constructor Summary

Constructors

Constructor and Description
SABRInterpolation(Array vx, Array vy, double t, double forward, double alpha, double beta, double nu, double rho, boolean alphaIsFixed, boolean betaIsFixed, boolean nuIsFixed, boolean rhoIsFixed, boolean vegaWeighted, EndCriteria endCriteria, OptimizationMethod optMethod)

Method Summary

Modifier and Type	Method and Description
double	alpha()
double	beta()
EndCriteria.Type	endCriteria()
double	expiry()
double	forward()
Array	interpolationWeights()
double	maxError()
double	nu()
double	rho()
double	rmsError()

Methods inherited from class org.jquantlib.math.interpolations.AbstractInterpolation

allowsExtrapolation, derivative, derivative, disableExtrapolation, empty, enableExtrapolation, isInRange, op, op, primitive, primitive, secondDerivative, secondDerivative, update, xMax, xMin

Methods inherited from class java.lang.Object

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

Constructor Detail

SABRInterpolation

public SABRInterpolation(Array vx,
                         Array vy,
                         double t,
                         double forward,
                         double alpha,
                         double beta,
                         double nu,
                         double rho,
                         boolean alphaIsFixed,
                         boolean betaIsFixed,
                         boolean nuIsFixed,
                         boolean rhoIsFixed,
                         boolean vegaWeighted,
                         EndCriteria endCriteria,
                         OptimizationMethod optMethod)

Method Detail

expiry

public double expiry()

forward

public double forward()

alpha

public double alpha()

beta

public double beta()

nu

public double nu()

rho

public double rho()

rmsError

public double rmsError()

maxError

public double maxError()

interpolationWeights

public Array interpolationWeights()

endCriteria

public EndCriteria.Type endCriteria()