public SABRWrapper(double t, double forward, List <double?> param)
{
t_ = t;
forward_ = forward;
params_ = param;
Utils.validateSabrParameters(param[0].Value, param[1].Value, param[2].Value, param[3].Value);
}
public SabrSmileSection(Date d, double forward, List <double> sabrParams, DayCounter dc = null)
: base(d, dc ?? new Actual365Fixed())
{
forward_ = forward;
alpha_ = sabrParams[0];
beta_ = sabrParams[1];
nu_ = sabrParams[2];
rho_ = sabrParams[3];
Utils.QL_REQUIRE(forward_ > 0.0, () => "at the money forward rate must be: " + forward_ + " not allowed");
Utils.validateSabrParameters(alpha_, beta_, nu_, rho_);
}
public SabrSmileSection(double timeToExpiry, double forward, List <double> sabrParams)
: base(timeToExpiry)
{
forward_ = forward;
alpha_ = sabrParams[0];
beta_ = sabrParams[1];
nu_ = sabrParams[2];
rho_ = sabrParams[3];
Utils.QL_REQUIRE(forward_ > 0.0, () => "at the money forward rate must be: " + forward_ + " not allowed");
Utils.validateSabrParameters(alpha_, beta_, nu_, rho_);
}
public SabrSmileSection(Date d, double forward, List <double> sabrParams, DayCounter dc = null, VolatilityType volatilityType = VolatilityType.ShiftedLognormal, double shift = 0.0)
: base(d, dc ?? new Actual365Fixed(), null, volatilityType, shift)
{
forward_ = forward;
shift_ = shift;
volatilityType_ = volatilityType;
alpha_ = sabrParams[0];
beta_ = sabrParams[1];
nu_ = sabrParams[2];
rho_ = sabrParams[3];
Utils.QL_REQUIRE(volatilityType == VolatilityType.Normal || forward_ + shift_ > 0.0, () => "at the money forward rate +shift must be: " + forward_ + shift_ + " not allowed");
Utils.validateSabrParameters(alpha_, beta_, nu_, rho_);
}
// public SabrSmileSection(Date d, double forward, List<double> sabrParameters, DayCounter dc = Actual365Fixed());
public SabrSmileSection(Date d, double forward, List <double> sabrParams, DayCounter dc)
: base(d, dc)
{
forward_ = forward;
alpha_ = sabrParams[0];
beta_ = sabrParams[1];
nu_ = sabrParams[2];
rho_ = sabrParams[3];
if (!(forward_ > 0.0))
{
throw new ApplicationException("at the money forward rate must be: " + forward_ + " not allowed");
}
Utils.validateSabrParameters(alpha_, beta_, nu_, rho_);
}
public SabrSmileSection(double timeToExpiry, double forward, List <double> sabrParams)
: base(timeToExpiry)
{
forward_ = forward;
alpha_ = sabrParams[0];
beta_ = sabrParams[1];
nu_ = sabrParams[2];
rho_ = sabrParams[3];
if (!(forward_ > 0.0))
{
throw new Exception("at the money forward rate must be: " + forward_ + " not allowed");
}
Utils.validateSabrParameters(alpha_, beta_, nu_, rho_);
}
public SABRWrapper(double t, double forward, List <double?> param, List <double?> addParams)
{
t_ = t;
forward_ = forward;
params_ = param;
shift_ = addParams == null ? 0.0 : addParams[0];
volatilityType_ = addParams == null ? VolatilityType.ShiftedLognormal : (addParams[1] > 0.0 ? VolatilityType.Normal : VolatilityType.ShiftedLognormal);
approximationModel_ = addParams == null ? SabrApproximationModel.Hagan2002 : (SabrApproximationModel)addParams[2];
if (volatilityType_ == VolatilityType.ShiftedLognormal)
{
Utils.QL_REQUIRE(forward_ + shift_ > 0.0, () => "forward+shift must be positive: "
+ forward_ + " with shift "
+ shift_.Value + " not allowed");
}
Utils.validateSabrParameters(param[0].Value, param[1].Value, param[2].Value, param[3].Value);
}
