Class SABR1E

• Defined in File sabr.hpp

Inheritance Relationships

Base Type

• public otyca::SABR1 (Class SABR1)

Class Documentation

class SABR1E : public otyca::SABR1

Public Functions

inline SABR1E()

inline SABR1E(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 std::vector<double> get_calibration_parameters() const

get the parameters for calibration.

Returns:

the parameters for calibration

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.