Package com.opengamma.strata.pricer.impl.volatility.smile

Class SabrModelFitter

java.lang.Object

com.opengamma.strata.pricer.impl.volatility.smile.SmileModelFitter<SabrFormulaData>

com.opengamma.strata.pricer.impl.volatility.smile.SabrModelFitter

public final class SabrModelFitter
extends SmileModelFitter<SabrFormulaData>

SABR model fitter.

Attempts to calibrate SABR model to the implied volatilities of European vanilla options, by minimizing the sum of squares between the market and model implied volatilities.

All the options must be for the same expiry and (implicitly) on the same underlying.

Constructor Summary

Constructors

Constructor	Description
SabrModelFitter(double forward, DoubleArray strikes, double timeToExpiry, DoubleArray impliedVols, DoubleArray error, VolatilityFunctionProvider<SabrFormulaData> model)	Constructs SABR model fitter from forward, strikes, time to expiry, implied volatilities and error values.
SabrModelFitter(double forward, DoubleArray strikes, double timeToExpiry, DoubleArray impliedVols, DoubleArray error, SabrVolatilityFormula sabrVolatilityFormula)	Constructs SABR model fitter from forward, strikes, time to expiry, implied volatilities and error values.

Method Summary

Modifier and Type	Method	Description
protected DoubleArray	getMaximumStep()	Obtains the maximum number of iterations.
protected NonLinearParameterTransforms	getTransform(DoubleArray start)	Obtains the nonlinear transformation of parameters from the initial values.
protected NonLinearParameterTransforms	getTransform(DoubleArray start, BitSet fixed)	Obtains the nonlinear transformation of parameters from the initial values with some parameters fixed.
SabrFormulaData	toSmileModelData(DoubleArray modelParameters)	Obtains SmileModelData instance from the model parameters.

Methods inherited from class com.opengamma.strata.pricer.impl.volatility.smile.SmileModelFitter

getConstraintFunction, getModel, getModelJacobianFunction, getModelValueFunction, solve, solve, solve

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

SabrModelFitter

public SabrModelFitter(double forward,
                       DoubleArray strikes,
                       double timeToExpiry,
                       DoubleArray impliedVols,
                       DoubleArray error,
                       SabrVolatilityFormula sabrVolatilityFormula)

Constructs SABR model fitter from forward, strikes, time to expiry, implied volatilities and error values.

strikes, impliedVols and error should be the same length and ordered coherently.

Parameters:

forward - the forward value of the underlying

strikes - the ordered values of strikes

timeToExpiry - the time-to-expiry

impliedVols - the market implied volatilities

error - the 'measurement' error to apply to the market volatility of a particular option

sabrVolatilityFormula - the volatility formula

SabrModelFitter

public SabrModelFitter(double forward,
                       DoubleArray strikes,
                       double timeToExpiry,
                       DoubleArray impliedVols,
                       DoubleArray error,
                       VolatilityFunctionProvider<SabrFormulaData> model)

Constructs SABR model fitter from forward, strikes, time to expiry, implied volatilities and error values.

strikes, impliedVols and error should be the same length and ordered coherently.

Parameters:

forward - the forward value of the underlying

strikes - the ordered values of strikes

timeToExpiry - the time-to-expiry

impliedVols - the market implied volatilities

error - the 'measurement' error to apply to the market volatility of a particular option

model - the volatility function provider

Method Detail

toSmileModelData

public SabrFormulaData toSmileModelData(DoubleArray modelParameters)

Description copied from class: SmileModelFitter

Obtains SmileModelData instance from the model parameters.

Specified by:

toSmileModelData in class SmileModelFitter<SabrFormulaData>

Parameters:

modelParameters - the model parameters

Returns:

the smile model data

getTransform

protected NonLinearParameterTransforms getTransform(DoubleArray start)

Description copied from class: SmileModelFitter

Obtains the nonlinear transformation of parameters from the initial values.

Specified by:

getTransform in class SmileModelFitter<SabrFormulaData>

Parameters:

start - the initial values

Returns:

the nonlinear transformation

getTransform

protected NonLinearParameterTransforms getTransform(DoubleArray start,
                                                    BitSet fixed)

Description copied from class: SmileModelFitter

Obtains the nonlinear transformation of parameters from the initial values with some parameters fixed.

Specified by:

getTransform in class SmileModelFitter<SabrFormulaData>

Parameters:

start - the initial values

fixed - the parameters are fixed

Returns:

the nonlinear transformation

getMaximumStep

protected DoubleArray getMaximumStep()

Description copied from class: SmileModelFitter

Obtains the maximum number of iterations.

Specified by:

getMaximumStep in class SmileModelFitter<SabrFormulaData>

Returns:

the maximum number.