List of sabrVolatility() Examples

Examples of sabrVolatility()

org.jquantlib.termstructures.volatilities.Sabr.sabrVolatility()
Computes the S.A.B.R. volatility
Checks S.A.B.R. model parameters using {@code #validateSabrParameters(Real, Real, Real, Real)}
Checks the terms and conditions;
1. strike > 0.0
2. forward > 0.0
3. expiryTime >= 0.0
@param strike @param forward @param expiryTime @param alpha @param beta @param nu @param rho @return @see #unsafeSabrVolatility(Rate,Rate,Time,Real,Real,Real,Real) @see #validateSabrParameters(Real,Real,Real,Real)

Examples of org.jquantlib.termstructures.volatilities.Sabr.sabrVolatility()

        final double beta = 0.5;
        final double nu = 0.34;
        final double rho = -0.11;


        final Sabr sabr = new Sabr();
        double sabrVol = sabr.sabrVolatility(strike, forward, expiryTime, alpha, beta, nu, rho);
        assertEquals(0.16,sabrVol, 1.0e-6);


        strike = 0.0598;
        sabrVol = sabr.sabrVolatility(strike, forward, expiryTime, alpha, beta, nu, rho);
        assertEquals(0.15755519,sabrVol, 1.0e-6);

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Examples of org.jquantlib.termstructures.volatilities.Sabr.sabrVolatility()

        final Sabr sabr = new Sabr();
        double sabrVol = sabr.sabrVolatility(strike, forward, expiryTime, alpha, beta, nu, rho);
        assertEquals(0.16,sabrVol, 1.0e-6);


        strike = 0.0598;
        sabrVol = sabr.sabrVolatility(strike, forward, expiryTime, alpha, beta, nu, rho);
        assertEquals(0.15755519,sabrVol, 1.0e-6);


        strike = 0.0198;
        sabrVol = sabr.sabrVolatility(strike, forward, expiryTime, alpha, beta, nu, rho);
        assertEquals(0.2373848,sabrVol, 1.0e-6);

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Examples of org.jquantlib.termstructures.volatilities.Sabr.sabrVolatility()

        strike = 0.0598;
        sabrVol = sabr.sabrVolatility(strike, forward, expiryTime, alpha, beta, nu, rho);
        assertEquals(0.15755519,sabrVol, 1.0e-6);


        strike = 0.0198;
        sabrVol = sabr.sabrVolatility(strike, forward, expiryTime, alpha, beta, nu, rho);
        assertEquals(0.2373848,sabrVol, 1.0e-6);


  }
}

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