Uses of Record Class
com.quantfinlib.pricing.SabrModel.Params

Packages that use SabrModel.Params

Package	Description
com.quantfinlib.pricing	Option and derivatives pricing models, implied volatility and volatility surfaces.

Uses of SabrModel.Params in com.quantfinlib.pricing

Methods in com.quantfinlib.pricing that return SabrModel.Params

Modifier and Type	Method	Description
static SabrModel.Params	SabrModel.calibrate(double f, double t, double beta, double[] strikes, double[] marketVols)	Unweighted calibration of (α, ρ, ν) with β fixed.
static SabrModel.Params	SabrModel.calibrate(double f, double t, double beta, double[] strikes, double[] marketVols, double[] weights)	Weighted least-squares calibration of (α, ρ, ν) with β fixed.
static SabrModel.Params	SabrModel.calibrateToAtm(double f, double t, double beta, double atmVol, double[] strikes, double[] marketVols, double[] weights)	Calibration that reprices the ATM vol exactly: α from SabrModel.alphaFromAtmVol(double, double, double, double, double, double) for each trial (ρ, ν), and (ρ, ν) fitted by Levenberg-Marquardt to the quotes.