Class SABR1

• Defined in File sabr.hpp

Inheritance Relationships

Base Types

• public otyca::SABR (Class SABR)

• public otyca::Model< 1 > (Template Class Model)

Derived Type

• public otyca::SABR1E (Class SABR1E)

Class Documentation

class SABR1 : public otyca::SABR, public otyca::Model<1>

Subclassed by otyca::SABR1E

Public Functions

inline SABR1()

inline SABR1(double t)

inline SABR1(double alpha, double beta, double rho, double nu, double t)

inline virtual void reset()

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

set the transformed parameters for calibration.

Parameters:

transformed_calibration_parameters – the transformed calibration parameters

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

Set the model’s raw parameters.

Parameters:

parameters – A vector of new parameter values.

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

Get the model’s raw parameters.

Returns:

A vector containing the model’s parameters.

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

get the transformed parameters for calibration.

Returns:

the transformed parameters for calibration

inline virtual std::vector<double> get_transformed_calibration_parameter_variances() const

inline virtual std::string name() const

Get the model’s name.

Returns:

A string representing the name of the model.

inline virtual std::vector<double> evaluate(const std::vector<std::array<double, 1>> &x) const

inline void set_t(double T)