Class Poker

Inheritance Relationships

Base Type

Class Documentation

class Poker : public otyca::VolatilitySmile

A one-dimensional volatility smile model with just 1 parameter.

The Poker model is a parametric form for modeling implied volatility smiles. It extends the generic Model<1> base class and provides functionality to set, get, and transform parameters for calibration purposes.

The model evaluates implied volatility given strike-like input values.

Parameters:

  • level : the baseline volatility.

The implied volatility is: v = level

Public Functions

inline Poker(double t)
inline virtual void set_transformed_calibration_parameters(const std::vector<double> &p) override

set the transformed parameters for calibration.

Parameters:

transformed_calibration_parameters – the transformed calibration parameters

inline virtual void set_parameters(const std::vector<double> &p) override

Set the model’s raw parameters.

Parameters:

parameters – A vector of new parameter values.

inline virtual std::vector<double> get_parameters() const override

Get the model’s raw parameters.

Returns:

A vector containing the model’s parameters.

inline virtual std::vector<double> get_transformed_calibration_parameters() const override

get the transformed parameters for calibration.

Returns:

the transformed parameters for calibration

inline virtual std::string name() const override

Get the model’s name.

Returns:

A string representing the name of the model.

std::vector<double> evaluate(const std::vector<std::array<double, 1>> &x) const override
virtual void pre_calibration(const CalibrationInput &calibration_input) override