Uses of Class
com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData

Packages that use SabrFormulaData

Package	Description
com.opengamma.strata.pricer.impl.option	Internal implementations of option pricing.
com.opengamma.strata.pricer.impl.volatility.smile	Internal implementations of volatility smile.

Uses of SabrFormulaData in com.opengamma.strata.pricer.impl.option

Methods in com.opengamma.strata.pricer.impl.option that return SabrFormulaData

Modifier and Type	Method	Description
SabrFormulaData	SabrExtrapolationRightFunction.getSabrData()	Gets the underlying SABR data.

Methods in com.opengamma.strata.pricer.impl.option with parameters of type SabrFormulaData

Modifier and Type	Method	Description
static SabrExtrapolationRightFunction	SabrExtrapolationRightFunction.of(double forward, double timeToExpiry, SabrFormulaData sabrData, double cutOffStrike, double mu)	Obtains an instance with default volatility provider.
static SabrExtrapolationRightFunction	SabrExtrapolationRightFunction.of(double forward, SabrFormulaData sabrData, double cutOffStrike, double timeToExpiry, double mu, VolatilityFunctionProvider<SabrFormulaData> volatilityFunction)	Obtains an instance with volatility provider specified.

Method parameters in com.opengamma.strata.pricer.impl.option with type arguments of type SabrFormulaData

Modifier and Type	Method	Description
static SabrExtrapolationRightFunction	SabrExtrapolationRightFunction.of(double forward, SabrFormulaData sabrData, double cutOffStrike, double timeToExpiry, double mu, VolatilityFunctionProvider<SabrFormulaData> volatilityFunction)	Obtains an instance with volatility provider specified.

Uses of SabrFormulaData in com.opengamma.strata.pricer.impl.volatility.smile

Methods in com.opengamma.strata.pricer.impl.volatility.smile that return SabrFormulaData

Modifier and Type	Method	Description
SabrFormulaData	SabrInArrearsVolatilityFunction.effectiveSabr(SabrFormulaData parameters, double tau0, double tau1)	The effective SABR parameters from the raw SABR parameters and the times.
SabrFormulaData	SabrInArrearsVolatilityFunction.effectiveSabrAfterStart(SabrFormulaData parameters, double tau0, double tau1)	The effective SABR parameters from the raw SABR parameters and the times.
SabrFormulaData	SabrInArrearsVolatilityFunction.effectiveSabrBeforeStart(SabrFormulaData parameters, double tau0, double tau1)	The effective SABR parameters from the raw SABR parameters and the times.
static SabrFormulaData	SabrFormulaData.of(double[] parameters)	Obtains an instance of the SABR formula data.
static SabrFormulaData	SabrFormulaData.of(double alpha, double beta, double rho, double nu)	Obtains an instance of the SABR formula data.
SabrFormulaData	SabrModelFitter.toSmileModelData(DoubleArray modelParameters)
SabrFormulaData	SabrFormulaData.with(int index, double value)
SabrFormulaData	SabrFormulaData.withAlpha(double alpha)	Returns a copy of this instance with alpha replaced.
SabrFormulaData	SabrFormulaData.withBeta(double beta)	Returns a copy of this instance with beta replaced.
SabrFormulaData	SabrFormulaData.withNu(double nu)	Returns a copy of this instance with nu replaced.
SabrFormulaData	SabrFormulaData.withRho(double rho)	Returns a copy of this instance with rho replaced.

Methods in com.opengamma.strata.pricer.impl.volatility.smile that return types with arguments of type SabrFormulaData

Modifier and Type	Method	Description
static org.joda.beans.TypedMetaBean<SabrFormulaData>	SabrFormulaData.meta()	The meta-bean for SabrFormulaData.
org.joda.beans.TypedMetaBean<SabrFormulaData>	SabrFormulaData.metaBean()

Methods in com.opengamma.strata.pricer.impl.volatility.smile with parameters of type SabrFormulaData

Modifier and Type	Method	Description
SabrFormulaData	SabrInArrearsVolatilityFunction.effectiveSabr(SabrFormulaData parameters, double tau0, double tau1)	The effective SABR parameters from the raw SABR parameters and the times.
List<ValueDerivatives>	SabrInArrearsVolatilityFunction.effectiveSabrAd(SabrFormulaData parameters, double tau0, double tau1)	The effective SABR parameters from the raw SABR parameters and the times.
SabrFormulaData	SabrInArrearsVolatilityFunction.effectiveSabrAfterStart(SabrFormulaData parameters, double tau0, double tau1)	The effective SABR parameters from the raw SABR parameters and the times.
List<ValueDerivatives>	SabrInArrearsVolatilityFunction.effectiveSabrAfterStartAd(SabrFormulaData parameters, double tau0, double tau1)	The effective SABR parameters and their derivatives from the raw SABR parameters and the times.
SabrFormulaData	SabrInArrearsVolatilityFunction.effectiveSabrBeforeStart(SabrFormulaData parameters, double tau0, double tau1)	The effective SABR parameters from the raw SABR parameters and the times.
List<ValueDerivatives>	SabrInArrearsVolatilityFunction.effectiveSabrBeforeStartAd(SabrFormulaData parameters, double tau0, double tau1)	The effective SABR parameters and their derivatives from the raw SABR parameters and the times.
double	SabrHaganVolatilityFunctionProvider.volatility(double forward, double strike, double timeToExpiry, SabrFormulaData data)
ValueDerivatives	SabrHaganVolatilityFunctionProvider.volatilityAdjoint(double forward, double strike, double timeToExpiry, SabrFormulaData data)	Computes the implied volatility in the SABR model and its derivatives.
double	SabrHaganVolatilityFunctionProvider.volatilityAdjoint2(double forward, double strike, double timeToExpiry, SabrFormulaData data, double[] volatilityD, double[][] volatilityD2)	Computes the first and second order derivatives of the Black implied volatility in the SABR model.

Constructor parameters in com.opengamma.strata.pricer.impl.volatility.smile with type arguments of type SabrFormulaData

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.