Class ShiftedLognormal

Inheritance Relationships

Base Type

Class Documentation

class ShiftedLognormal : public otyca::VolatilitySmile

A simple shifted lognormal model for option pricing.

This model applies a lognormal distribution with a fixed shift to evaluate option prices based on relative strikes. The model is parameterized by volatility, shift, and time to maturity.

Public Functions

inline ShiftedLognormal(double t)

Constructs the shifted lognormal model with a given time to maturity.

Default values:

  • Shift = 0.5

  • Volatility = 0.6

Parameters:

t – Time to maturity (in years).

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>> &relative_strikes) const override
virtual void set_transformed_calibration_parameters(const std::vector<double> &transformed_parameters) override

set the transformed parameters for calibration.

Parameters:

transformed_calibration_parameters – the transformed calibration parameters

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

get the transformed parameters for calibration.

Returns:

the transformed parameters for calibration