/// <summary>
/// Initialise the SABR parameter beta to the value that will be used
/// during calibration of the SABR model.
/// Function checks for a valid beta parameter.
/// Post condition: private field _beta is set, provided that the input
/// value beta is valid.
/// </summary>
/// <param name="beta">Override for the SABR parameter beta.</param>
private void InitialiseBeta(decimal beta)
{
// SABR parameter beta provided: check validity.
var errorMessage = "";
var isValid =
SABRParameters.CheckSABRParameterBeta(beta, ref errorMessage);
if (!isValid)
{
throw new System.ArgumentException(errorMessage);
}
Beta = beta;
}
/// <summary>
/// Constructor for the class <see cref="SABRImpliedVolatility"/>.
/// </summary>
/// <param name="sabrParameters">Object that contains all the
/// SABR parameters.</param>
/// <param name="checkSABRParameters">Flag used to signal whether
/// the parameters for the SABR model require validation (true)
/// or no validation required (false).</param>
public SABRImpliedVolatility(SABRParameters sabrParameters,
bool checkSABRParameters)
{
// Inspect whether a check of the SABR parameters has been requested.
if (checkSABRParameters)
{
// Check of the SABR parameters requested.
var errorMessage = "";
var allSABRParametersValid =
SABRParameters.CheckSABRParameters(sabrParameters,
ref errorMessage);
if (!allSABRParametersValid)
{
// Invalid SABR parameter found.
throw new ArgumentException(errorMessage);
}
}
// SABR parameters are either all valid or a check of the these
// parameters has not been requested: store all SABR parameters.
_alpha = sabrParameters.Alpha;
_beta = sabrParameters.Beta;
_nu = sabrParameters.Nu;
_rho = sabrParameters.Rho;
}