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

Packages that use SabrModel.Params

Package

Description

com.quantfinlib.pricing

Fair value and derivatives pricing: BlackScholes (Greeks with continuous carry — equities and Garman-Kohlhagen FX — plus implied vol), BinomialTree (CRR American/European), VolSurface (pillar smiles, total-variance term interpolation), SabrModel (Hagan 2002 + calibration), FairValueEngine (microprice and latency-adjusted true mid), TriangularArbitrage (executable FX round-trip edge), ForwardCurve (FX forwards with covered-interest-parity checks), the exotics (DigitalOption, TouchOption, BarrierOption, VannaVolga) and Autocallable (the flagship equity structured product: memory coupons, autocall observations, European knock-in — Monte Carlo with antithetic variates under documented GBM simplifications; RFQ market structure for trading it lives in rfq).

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)	Calibrates (α, ρ, ν) with β fixed, by seeded random search plus shrinking coordinate refinement (derivative-free, deterministic).