Class ZabrShortMaturityNormalInterpolatedSmileSection

Namespace: NanoQL.TermStructures

Assembly: NanoQL.dll

QuantLib-Python's ZabrShortMaturityNormalInterpolatedSmileSection: a ZabrInterpolatedSmileSection<TEvaluation> with the short-maturity normal kernel.

public sealed class ZabrShortMaturityNormalInterpolatedSmileSection : ZabrInterpolatedSmileSection<ZabrShortMaturityNormal>

Inheritance: object

SmileSection

ZabrInterpolatedSmileSection<ZabrShortMaturityNormal>

ZabrShortMaturityNormalInterpolatedSmileSection

Inherited Members: ZabrInterpolatedSmileSection<ZabrShortMaturityNormal>.MinStrike()

ZabrInterpolatedSmileSection<ZabrShortMaturityNormal>.MaxStrike()

ZabrInterpolatedSmileSection<ZabrShortMaturityNormal>.AtmLevel()

ZabrInterpolatedSmileSection<ZabrShortMaturityNormal>.ExerciseTime

ZabrInterpolatedSmileSection<ZabrShortMaturityNormal>.Alpha

ZabrInterpolatedSmileSection<ZabrShortMaturityNormal>.Beta

ZabrInterpolatedSmileSection<ZabrShortMaturityNormal>.Nu

ZabrInterpolatedSmileSection<ZabrShortMaturityNormal>.Rho

ZabrInterpolatedSmileSection<ZabrShortMaturityNormal>.Gamma

ZabrInterpolatedSmileSection<ZabrShortMaturityNormal>.RmsError

ZabrInterpolatedSmileSection<ZabrShortMaturityNormal>.MaxError

ZabrInterpolatedSmileSection<ZabrShortMaturityNormal>.EndCriteria

SmileSection.ReferenceDate()

SmileSection.Variance(double)

SmileSection.Volatility(double)

SmileSection.Volatility(double, VolatilityType, double)

SmileSection.OptionPrice(double, OptionType, double)

SmileSection.DigitalOptionPrice(double, OptionType, double, double)

SmileSection.Density(double, double, double)

SmileSection.Vega(double, double)

SmileSection.ExerciseDate

SmileSection.VolatilityType

SmileSection.Shift

SmileSection.DayCounter

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

Create(Date, double, ReadOnlySpan<double>, bool, double, ReadOnlySpan<double?>, double?, double?, double?, double?, double?, EvaluationContext, bool, bool, bool, bool, bool, bool, EndCriteria?, OptimizationMethod?, DayCounter?)

A section for an option date, whose reference date is the evaluation date, from market volatilities.

public static ZabrShortMaturityNormalInterpolatedSmileSection Create(Date optionDate, double forward, ReadOnlySpan<double> strikes, bool hasFloatingStrikes, double atmVolatility, ReadOnlySpan<double?> vols, double? alpha, double? beta, double? nu, double? rho, double? gamma, EvaluationContext context, bool isAlphaFixed = false, bool isBetaFixed = false, bool isNuFixed = false, bool isRhoFixed = false, bool isGammaFixed = false, bool vegaWeighted = true, EndCriteria? endCriteria = null, OptimizationMethod? method = null, DayCounter? dc = null)

Parameters

optionDate Date: The option's exercise date.
forward double: The forward.
strikes ReadOnlySpan<double>: The strikes, sorted; with floating strikes, the offsets from the forward.
hasFloatingStrikes bool: Whether the strikes and the volatilities are offsets and spreads.
atmVolatility double: The at-the-money volatility, read with floating strikes.
vols ReadOnlySpan<double?>: The market volatilities, or with floating strikes their spreads; null leaves its strike out of the fit.
alpha double?: The guess or fixed value of α; null for ZABR's default guess.
beta double?: The guess or fixed value of β; null for ZABR's default guess.
nu double?: The guess or fixed value of ν; null for ZABR's default guess.
rho double?: The guess or fixed value of ρ; null for ZABR's default guess.
gamma double?: The guess or fixed value of γ; null for ZABR's default guess.
context EvaluationContext: The evaluation context, whose evaluation date is the reference date.
isAlphaFixed bool: Whether α is fixed.
isBetaFixed bool: Whether β is fixed.
isNuFixed bool: Whether ν is fixed.
isRhoFixed bool: Whether ρ is fixed.
isGammaFixed bool: Whether γ is fixed.
vegaWeighted bool: Whether the fit's errors are weighted by vega.
endCriteria EndCriteria: The fit's end criteria, or null for ZABR's default.
method OptimizationMethod: The fit's optimization method, or null for ZABR's default.
dc DayCounter: The day counter, or null for Actual/365 (Fixed).

Returns

ZabrShortMaturityNormalInterpolatedSmileSection: The section, with a fixed reference date.

Exceptions

ArgumentNullException: context is null.
ArgumentException: The section refuses its arguments.
NanoQLException: The fit fails.