Class Sneer

Inheritance Relationships

Base Type

Class Documentation

class Sneer : public otyca::VolatilitySmile

A one-dimensional 5-parameter volatility smile model with left and right “Sneer.”.

The Sneer model parameterizes implied volatility using two exponential wing functions: one for the left tail and one for the right tail. Each wing is controlled by slope, shift, and sharpness parameters.

Parameters:

  • slope_l : slope of the left wing.

  • slope_r : slope of the right wing.

  • shift : common horizontal offset of both wings.

  • sharp : common transition sharpness/steepness of both wings.

  • shift_u : vertical shift.

The evaluation formula for a strike-like input k is:

\[\begin{split} \begin{aligned} v_l(k) &= \text{slope}_l \cdot \frac{\log\!\bigl(1+\exp\bigl(-(k+\text{shift})\cdot \text{sharp}\bigr)\bigr)} {\text{sharp}},\\[6pt] v_r(k) &= \text{slope}_r \cdot \frac{\log\!\bigl(1+\exp\bigl((k-\text{shift})\cdot \text{sharp}\bigr)\bigr)} {\text{sharp}},\\[6pt] v(k) &= v_l(k) + v_r(k) + \text{shift}_u. \end{aligned} \end{split}\]

The model enforces positivity of parameters via the softplus transformation in calibration mode, and provides both raw and transformed accessors for parameters.

Public Functions

inline Sneer(double t)
inline virtual std::vector<std::string> get_parameter_names() const override

Get the names of the model parameters.

Default implementation assigns names as “p1”, “p2”, etc.

Returns:

A vector of parameter names.

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.

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 std::vector<double> get_regularizer_penalties(const CalibrationInput &ci) const override
virtual void pre_calibration(const CalibrationInput &calibration_input) override