- java.lang.Object
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- net.finmath.functions.SABRModel
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public class SABRModel extends Object
- Version:
- 1.0
- Author:
- Christian Fries
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Method Summary
All Methods Static Methods Concrete Methods Modifier and Type Method 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)
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Method Detail
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sabrCalibrateParameterForImpliedNormalVols
public static double[] sabrCalibrateParameterForImpliedNormalVols(double underlying, double maturity, double[] givenStrikes, double[] givenVolatilities) throws SolverException
- Throws:
SolverException
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sabrCalibrateParameterForImpliedNormalVols
public static double[] sabrCalibrateParameterForImpliedNormalVols(double underlying, double maturity, double[] givenStrikes, double[] givenVolatilities, double[] parameterLowerBound, double[] parameterUpperBound) throws SolverException
- Throws:
SolverException
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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
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