Class SABRModel

java.lang.Object
net.finmath.functions.SABRModel

public class SABRModel extends Object
Version:
1.0
Author:
Christian Fries
  • Method Details

    • 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