org.jquantlib.termstructures.volatilities

Class Sabr

java.lang.Object

org.jquantlib.termstructures.volatilities.Sabr

public class Sabr
extends java.lang.Object

Implements the Black equivalent volatility for the S.A.B.R. model.

Constructor Summary

Constructors

Constructor and Description
Sabr()

Method Summary

Modifier and Type	Method and Description
double	sabrVolatility(double strike, double forward, double expiryTime, double alpha, double beta, double nu, double rho) Computes the S.A.B.R.
double	unsafeSabrVolatility(double strike, double forward, double expiryTime, double alpha, double beta, double nu, double rho) Computes the Black equivalent volatility without validating parameters
void	validateSabrParameters(double alpha, double beta, double nu, double rho) checks that the parameters are valid; specifically, alpha > 0.0 beta >= 0.0 && <=1.0 nu >= 0.0 rho*rho < 1.0

Methods inherited from class java.lang.Object

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

Constructor Detail

Sabr

public Sabr()

Method Detail

unsafeSabrVolatility

public double unsafeSabrVolatility(double strike,
                                   double forward,
                                   double expiryTime,
                                   double alpha,
                                   double beta,
                                   double nu,
                                   double rho)

Computes the Black equivalent volatility without validating parameters

Parameters:

strike -

forward -

expiryTime -

alpha -

beta -

nu -

rho -

Returns:

Black equivalent volatility

See Also:

#validateSabrParameters(Real, Real, Real, Real), #sabrVolatility(Rate, Rate, Time, Real, Real, Real, Real)

validateSabrParameters

public void validateSabrParameters(double alpha,
                                   double beta,
                                   double nu,
                                   double rho)

checks that the parameters are valid; specifically,

1. alpha > 0.0
2. beta >= 0.0 && <=1.0
3. nu >= 0.0
4. rho*rho < 1.0

Parameters:

alpha -

beta -

nu -

rho -

sabrVolatility

public double sabrVolatility(double strike,
                             double forward,
                             double expiryTime,
                             double alpha,
                             double beta,
                             double nu,
                             double rho)

Computes the S.A.B.R. volatility

Checks S.A.B.R. model parameters using #validateSabrParameters(Real, Real, Real, Real)

Checks the terms and conditions;

1. strike > 0.0
2. forward > 0.0
3. expiryTime >= 0.0

Parameters:

strike -

forward -

expiryTime -

alpha -

beta -

nu -

rho -

Returns:

See Also:

#unsafeSabrVolatility(Rate, Rate, Time, Real, Real, Real, Real), #validateSabrParameters(Real, Real, Real, Real)