Class SabrModel

java.lang.Object
com.quantfinlib.pricing.SabrModel
public final class SabrModel extends Object
SABR stochastic volatility model: Hagan et al. (2002) lognormal implied volatility approximation and smile calibration. With β fixed (market convention), calibrates (α, ρ, ν) to observed strike/vol quotes — turning VolSurface-style pillar smiles into a parametric, arbitrage-aware fit that inter/extrapolates sensibly.

  • Nested Class Summary

    Nested Classes
    Modifier and Type
    Class
    Description
    static final record 
    SabrModel.Params
    Calibrated SABR parameters and the fit's RMSE in vol points.

  • Method Summary

    Modifier and Type
    Method
    Description
    static SabrModel.Params
    calibrate(double f, double t, double beta, double[] strikes, double[] marketVols)
    Calibrates (α, ρ, ν) with β fixed, by seeded random search plus shrinking coordinate refinement (derivative-free, deterministic).
    static double
    impliedVol(double f, double k, double t, double alpha, double beta, double rho, double nu)
    Hagan lognormal implied vol for forward f, strike k, expiry t.

    Methods inherited from class java.lang.Object

    clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Method Details

    • impliedVol

      public static double impliedVol(double f, double k, double t, double alpha, double beta, double rho, double nu)
      Hagan lognormal implied vol for forward f, strike k, expiry t.

    • calibrate

      public static SabrModel.Params calibrate(double f, double t, double beta, double[] strikes, double[] marketVols)
      Calibrates (α, ρ, ν) with β fixed, by seeded random search plus shrinking coordinate refinement (derivative-free, deterministic).