Options
All
  • Public
  • Public/Protected
  • All
Menu

Class SABRInterpolation

SABR smile interpolation between discrete volatility points.

warning

See the Interpolation class for information about the required lifetime of the underlying data.

Hierarchy

Implements

Index

Classes

Properties

Methods

Properties

Private _coeffs

_coeffs: XABRCoeffHolder

_extrapolate

_extrapolate: boolean = false

Protected _impl

_impl: Impl = null

Methods

allowsExtrapolation

  • allowsExtrapolation(): boolean

  • tells whether extrapolation is enabled

    Returns boolean

alpha

  • Returns Real

beta

  • Returns Real

Protected checkRange

  • checkRange(x: Real, extrapolate: boolean): void

derivative

  • derivative(x: Real, allowExtrapolation?: boolean): Real

  • Parameters

    • x: Real
    • Default value allowExtrapolation: boolean = false

    Returns Real

disableExtrapolation

  • disableExtrapolation(b?: boolean): void

  • disable extrapolation in subsequent calls

    Parameters

    • Default value b: boolean = true

    Returns void

empty

  • empty(): boolean

  • Returns boolean

enableExtrapolation

  • enableExtrapolation(b?: boolean): void

  • enable extrapolation in subsequent calls

    Parameters

    • Default value b: boolean = true

    Returns void

endCriteria

  • endCriteria(): Type

  • Returns Type

expiry

  • Returns Real

f

  • f(x: Real, allowExtrapolation?: boolean): Real

  • Parameters

    • x: Real
    • Default value allowExtrapolation: boolean = false

    Returns Real

forward

  • Returns Real

getExistingHelpers

  • getExistingHelpers(): any

interpolationWeights

  • interpolationWeights(): Real[]

  • Returns Real[]

isInRange

  • isInRange(x: Real): boolean

maxError

  • Returns Real

nu

  • Returns Real

primitive

  • primitive(x: Real, allowExtrapolation?: boolean): Real

  • Parameters

    • x: Real
    • Default value allowExtrapolation: boolean = false

    Returns Real

rho

  • Returns Real

rmsError

  • Returns Real

sabrInit

  • Parameters

    • x: Real[]
    • xBegin: Size
    • xEnd: Size
    • y: Real[]
    • yBegin: Size
    • t: Time
    • forward: Real
    • alpha: Real
    • beta: Real
    • nu: Real
    • rho: Real
    • alphaIsFixed: boolean
    • betaIsFixed: boolean
    • nuIsFixed: boolean
    • rhoIsFixed: boolean
    • Default value vegaWeighted: boolean = true
    • Default value endCriteria: EndCriteria = null
    • Default value optMethod: OptimizationMethod = null
    • Default value errorAccept: Real = 0.002
    • Default value useMaxError: boolean = false
    • Default value maxGuesses: Size = 50
    • Default value shift: Real = 0

    Returns SABRInterpolation

secondDerivative

  • secondDerivative(x: Real, allowExtrapolation?: boolean): Real

update

  • update(): void

xMax

xMin