quantlib.termstructures.volatility.sabr_interpolated_smilesection.
SabrInterpolatedSmileSection¶
- class SabrInterpolatedSmileSection(Date option_date, forward, vector[Rate] strikes, bool has_floating_strikes, atm_volatility, list vol_handles, Real alpha, Real beta, Real nu, Real rho, bool is_alpha_fixed=False, bool is_beta_fixed=False, bool is_nu_fixed=False, bool is_rho_fixed=False, bool vega_weighted=True, EndCriteria end_criteria=EndCriteria.__new__(EndCriteria), OptimizationMethod method=OptimizationMethod(), DayCounter dc=Actual365Fixed(), Real shift=0.)¶
Bases:
SmileSection- Attributes:
- alpha
- beta
- day_counter
- end_criteria
- exercise_date
- exercise_time
- max_error
- max_strike
- min_strike
- nu
- reference_date
- rho
- rms_error
Methods
density(self, Rate strike, Real discount=1., ...)option_price(self, Rate strike, ...)vega(self, Rate strike, Real discount=1.)volatility(self, Rate strike)