public SABRInterpolation(List <double> xBegin, // x = strikes
int xEnd,
List <double> yBegin, // y = volatilities
double t, // option expiry
double forward,
double?alpha,
double?beta,
double?nu,
double?rho,
bool alphaIsFixed,
bool betaIsFixed,
bool nuIsFixed,
bool rhoIsFixed,
bool vegaWeighted = true,
EndCriteria endCriteria = null,
OptimizationMethod optMethod = null,
double errorAccept = 0.0020,
bool useMaxError = false,
int maxGuesses = 50,
double shift = 0.0,
VolatilityType volatilityType = VolatilityType.ShiftedLognormal,
SabrApproximationModel approximationModel = SabrApproximationModel.Hagan2002)
{
List <double?> addParams = new List <double?>();
addParams.Add(shift);
addParams.Add(volatilityType == VolatilityType.ShiftedLognormal ? 0.0 : 1.0);
addParams.Add((double?)approximationModel);
impl_ = new XABRInterpolationImpl <SABRSpecs>(
xBegin, xEnd, yBegin, t, forward,
new List <double?>()
{
alpha, beta, nu, rho
},
//boost::assign::list_of(alpha)(beta)(nu)(rho),
new List <bool>()
{
alphaIsFixed, betaIsFixed, nuIsFixed, rhoIsFixed
},
//boost::assign::list_of(alphaIsFixed)(betaIsFixed)(nuIsFixed)(rhoIsFixed),
vegaWeighted, endCriteria, optMethod, errorAccept, useMaxError,
maxGuesses, addParams);
coeffs_ = (impl_ as XABRInterpolationImpl <SABRSpecs>).coeff_;
}
public SviInterpolation(List <double> xBegin, // x = strikes
int size,
List <double> yBegin, // y = volatilities
double t, // option expiry
double forward,
double?a,
double?b,
double?sigma,
double?rho,
double?m,
bool aIsFixed,
bool bIsFixed,
bool sigmaIsFixed,
bool rhoIsFixed,
bool mIsFixed, bool vegaWeighted = true,
EndCriteria endCriteria = null,
OptimizationMethod optMethod = null,
double errorAccept = 0.0020,
bool useMaxError = false,
int maxGuesses = 50,
List <double?> addParams = null)
{
impl_ = new XABRInterpolationImpl <SVISpecs>(
xBegin, size, yBegin, t, forward,
new List <double?>()
{
a, b, sigma, rho, m
},
new List <bool>()
{
aIsFixed, bIsFixed, sigmaIsFixed, rhoIsFixed, mIsFixed
},
vegaWeighted, endCriteria, optMethod, errorAccept, useMaxError,
maxGuesses, addParams);
coeffs_ = (impl_ as XABRInterpolationImpl <SVISpecs>).coeff_;
}
public XABRError(XABRInterpolationImpl <Model> xabr)
{
xabr_ = xabr;
}
