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

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
density(self, Rate strike, Real discount=1., ...)
option_price(self, Rate strike, ...)
vega(self, Rate strike, Real discount=1.)
volatility(self, Rate strike)

Attributes

alpha
beta
day_counter
end_criteria
exercise_date
exercise_time
max_error
max_strike
min_strike
nu
reference_date
rho
rms_error