static SabrIborCapletFloorletVolatilityBootstrapper()
{
TRANSFORMS = new ParameterLimitsTransform[4];
TRANSFORMS[0] = new SingleRangeLimitTransform(0, ParameterLimitsTransform_LimitType.GREATER_THAN); // alpha > 0
TRANSFORMS[1] = new DoubleRangeLimitTransform(0.0, 1.0); // 0 <= beta <= 1
TRANSFORMS[2] = new DoubleRangeLimitTransform(-RHO_LIMIT, RHO_LIMIT); // -1 <= rho <= 1
TRANSFORMS[3] = new DoubleRangeLimitTransform(0.001d, 2.50d);
// nu > 0 and limit on Nu to avoid numerical instability in formula for large nu.
}
static SabrModelFitter()
{
DEFAULT_TRANSFORMS = new ParameterLimitsTransform[4];
DEFAULT_TRANSFORMS[0] = new SingleRangeLimitTransform(0, ParameterLimitsTransform_LimitType.GREATER_THAN); // alpha > 0
DEFAULT_TRANSFORMS[1] = new DoubleRangeLimitTransform(0, 1.0); // 0 <= beta <= 1
DEFAULT_TRANSFORMS[2] = new DoubleRangeLimitTransform(-RHO_LIMIT, RHO_LIMIT); // -RHO_LIMIT <= rho <= RHO_LIMIT
DEFAULT_TRANSFORMS[3] = new DoubleRangeLimitTransform(0.01d, 2.50d);
// nu > 0 and limit on Nu to avoid numerical instability in formula for large nu.
}
