Uses of Interface
com.opengamma.strata.pricer.model.SabrVolatilityFormula

Packages that use SabrVolatilityFormula

Package	Description
com.opengamma.strata.pricer.capfloor	Calculators for Ibor cap-floor.
com.opengamma.strata.pricer.impl.volatility.smile	Internal implementations of volatility smile.
com.opengamma.strata.pricer.model	Common code for model pricing.
com.opengamma.strata.pricer.swaption	Calculators for swaptions.

Uses of SabrVolatilityFormula in com.opengamma.strata.pricer.capfloor

Methods in com.opengamma.strata.pricer.capfloor that return SabrVolatilityFormula

Modifier and Type	Method	Description
SabrVolatilityFormula	SabrIborCapletFloorletVolatilityBootstrapDefinition.getSabrVolatilityFormula()	Gets the SABR formula.
SabrVolatilityFormula	SabrIborCapletFloorletVolatilityCalibrationDefinition.getSabrVolatilityFormula()	Gets the SABR formula.

Methods in com.opengamma.strata.pricer.capfloor that return types with arguments of type SabrVolatilityFormula

Modifier and Type	Method	Description
org.joda.beans.MetaProperty<SabrVolatilityFormula>	SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta.sabrVolatilityFormula()	The meta-property for the sabrVolatilityFormula property.
org.joda.beans.MetaProperty<SabrVolatilityFormula>	SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta.sabrVolatilityFormula()	The meta-property for the sabrVolatilityFormula property.

Methods in com.opengamma.strata.pricer.capfloor with parameters of type SabrVolatilityFormula

Modifier and Type	Method	Description
static SabrIborCapletFloorletVolatilityBootstrapDefinition	SabrIborCapletFloorletVolatilityBootstrapDefinition.ofFixedBeta(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double beta, double shift, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with constant beta and shift.
static SabrIborCapletFloorletVolatilityBootstrapDefinition	SabrIborCapletFloorletVolatilityBootstrapDefinition.ofFixedBeta(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double beta, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with zero shift and constant beta.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	SabrIborCapletFloorletVolatilityCalibrationDefinition.ofFixedBeta(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double beta, double shift, DoubleArray alphaCurveNodes, DoubleArray rhoCurveNodes, DoubleArray nuCurveNodes, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with fixed beta and nonzero shift.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	SabrIborCapletFloorletVolatilityCalibrationDefinition.ofFixedBeta(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double shift, DoubleArray alphaCurveNodes, DoubleArray rhoCurveNodes, DoubleArray nuCurveNodes, DoubleArray initialParameters, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with fixed beta, nonzero shift and initial values.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	SabrIborCapletFloorletVolatilityCalibrationDefinition.ofFixedBeta(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double beta, DoubleArray alphaCurveNodes, DoubleArray rhoCurveNodes, DoubleArray nuCurveNodes, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with fixed beta and zero shift.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	SabrIborCapletFloorletVolatilityCalibrationDefinition.ofFixedBeta(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, DoubleArray alphaCurveNodes, DoubleArray rhoCurveNodes, DoubleArray nuCurveNodes, DoubleArray initialParameters, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with fixed beta, zero shift and initial values.
static SabrIborCapletFloorletVolatilityBootstrapDefinition	SabrIborCapletFloorletVolatilityBootstrapDefinition.ofFixedRho(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double rho, double shift, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with constant beta and shift.
static SabrIborCapletFloorletVolatilityBootstrapDefinition	SabrIborCapletFloorletVolatilityBootstrapDefinition.ofFixedRho(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double rho, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with zero shift and constant beta.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	SabrIborCapletFloorletVolatilityCalibrationDefinition.ofFixedRho(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double rho, double shift, DoubleArray alphaCurveNodes, DoubleArray betaCurveNodes, DoubleArray nuCurveNodes, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with fixed rho and nonzero shift.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	SabrIborCapletFloorletVolatilityCalibrationDefinition.ofFixedRho(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double shift, DoubleArray alphaCurveNodes, DoubleArray betaCurveNodes, DoubleArray nuCurveNodes, DoubleArray initialParameters, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with fixed rho, nonzero shift and initial values.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	SabrIborCapletFloorletVolatilityCalibrationDefinition.ofFixedRho(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, double rho, DoubleArray alphaCurveNodes, DoubleArray betaCurveNodes, DoubleArray nuCurveNodes, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with fixed rho and zero shift.
static SabrIborCapletFloorletVolatilityCalibrationDefinition	SabrIborCapletFloorletVolatilityCalibrationDefinition.ofFixedRho(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, DoubleArray alphaCurveNodes, DoubleArray betaCurveNodes, DoubleArray nuCurveNodes, DoubleArray initialParameters, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight, SabrVolatilityFormula sabrVolatilityFormula)	Obtains an instance with fixed rho, zero shift and initial values.
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder.sabrVolatilityFormula(SabrVolatilityFormula sabrVolatilityFormula)	Sets the SABR formula.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder.sabrVolatilityFormula(SabrVolatilityFormula sabrVolatilityFormula)	Sets the SABR formula.

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

Classes in com.opengamma.strata.pricer.impl.volatility.smile that implement SabrVolatilityFormula

Modifier and Type	Class	Description
class	SabrHaganNormalVolatilityFormula	Formulas related to the SABR implied normal volatility function.
class	SabrHaganVolatilityFunctionProvider	The Hagan SABR volatility function provider.

Constructors in com.opengamma.strata.pricer.impl.volatility.smile with parameters of type SabrVolatilityFormula

Constructor	Description
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.

Uses of SabrVolatilityFormula in com.opengamma.strata.pricer.model

Methods in com.opengamma.strata.pricer.model that return SabrVolatilityFormula

Modifier and Type	Method	Description
SabrVolatilityFormula	SabrInterestRateParameters.getSabrVolatilityFormula()	Gets the SABR volatility formula.
SabrVolatilityFormula	SabrParameters.getSabrVolatilityFormula()	Gets the SABR volatility formula.
static SabrVolatilityFormula	SabrVolatilityFormula.hagan()	The Hagan SABR volatility formula.

Methods in com.opengamma.strata.pricer.model with parameters of type SabrVolatilityFormula

Modifier and Type	Method	Description
static SabrInterestRateParameters	SabrInterestRateParameters.of(Surface alphaSurface, Surface betaSurface, Surface rhoSurface, Surface nuSurface, Surface shiftSurface, SabrVolatilityFormula sabrFormula)	Obtains an instance with shift from nodal surfaces and volatility function provider.
static SabrInterestRateParameters	SabrInterestRateParameters.of(Surface alphaSurface, Surface betaSurface, Surface rhoSurface, Surface nuSurface, SabrVolatilityFormula sabrFormula)	Obtains an instance without shift from nodal surfaces and volatility function provider.
static SabrParameters	SabrParameters.of(Curve alphaCurve, Curve betaCurve, Curve rhoCurve, Curve nuCurve, Curve shiftCurve, SabrVolatilityFormula sabrFormula)	Obtains an instance with shift from nodal curves and volatility function provider.
static SabrParameters	SabrParameters.of(Curve alphaCurve, Curve betaCurve, Curve rhoCurve, Curve nuCurve, SabrVolatilityFormula sabrFormula)	Obtains an instance without shift from nodal curves and volatility function provider.

Uses of SabrVolatilityFormula in com.opengamma.strata.pricer.swaption

Methods in com.opengamma.strata.pricer.swaption with parameters of type SabrVolatilityFormula

Modifier and Type	Method	Description
static SabrSwaptionCalibrator	SabrSwaptionCalibrator.of(SabrVolatilityFormula sabrVolatilityFormula, DiscountingSwapProductPricer swapPricer)	Obtains an instance from a SABR volatility function provider and a swap pricer.
static SabrSwaptionCalibrator	SabrSwaptionCalibrator.of(SabrVolatilityFormula sabrVolatilityFormula, DiscountingSwapProductPricer swapPricer, ReferenceData refData)	Obtains an instance from a SABR volatility function provider and a swap pricer.