Class ZabrShortMaturityNormalSmileSection

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

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

public sealed class ZabrShortMaturityNormalSmileSection : ZabrSmileSection<ZabrShortMaturityNormal>

Inheritance

object

SmileSection

ZabrSmileSection<ZabrShortMaturityNormal>

ZabrShortMaturityNormalSmileSection

Inherited Members

ZabrSmileSection<ZabrShortMaturityNormal>.MinStrike()

ZabrSmileSection<ZabrShortMaturityNormal>.MaxStrike()

ZabrSmileSection<ZabrShortMaturityNormal>.AtmLevel()

ZabrSmileSection<ZabrShortMaturityNormal>.OptionPrice(double, OptionType, double)

ZabrSmileSection<ZabrShortMaturityNormal>.ExerciseTime

ZabrSmileSection<ZabrShortMaturityNormal>.Model

SmileSection.ReferenceDate()

SmileSection.Variance(double)

SmileSection.Volatility(double)

SmileSection.Volatility(double, VolatilityType, 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()

Constructors

ZabrShortMaturityNormalSmileSection(double, double, ReadOnlySpan<double>, ReadOnlySpan<double>, int)

Initializes a new instance of the ZabrShortMaturityNormalSmileSection class for an exercise time.

public ZabrShortMaturityNormalSmileSection(double timeToExpiry, double forward, ReadOnlySpan<double> zabrParameters, ReadOnlySpan<double> moneyness = default, int fdRefinement = 5)

Parameters

timeToExpiry double

The exercise time, positive.

forward double

The forward.

zabrParameters ReadOnlySpan<double>

α, β, ν, ρ and γ, in that order; values after the fifth are ignored.

moneyness ReadOnlySpan<double>

The finite-difference kernels' moneyness grid, which this kernel doesn't read.

fdRefinement int

The finite-difference kernels' refinement, which this kernel doesn't read.

Exceptions

ArgumentOutOfRangeException

fdRefinement is negative.

ArgumentException

The section refuses its arguments.

Methods

Create(Date, double, ReadOnlySpan<double>, EvaluationContext, DayCounter?, ReadOnlySpan<double>, int)

A section for an exercise date, whose reference date is the evaluation date.

public static ZabrShortMaturityNormalSmileSection Create(Date d, double forward, ReadOnlySpan<double> zabrParameters, EvaluationContext context, DayCounter? dc = null, ReadOnlySpan<double> moneyness = default, int fdRefinement = 5)

Parameters

d Date

The exercise date.

forward double

The forward.

zabrParameters ReadOnlySpan<double>

α, β, ν, ρ and γ, in that order.

context EvaluationContext

The evaluation context, whose evaluation date is the reference date.

dc DayCounter

The day counter of the exercise time, or null for Actual/365 (Fixed).

moneyness ReadOnlySpan<double>

The finite-difference kernels' moneyness grid, which this kernel doesn't read.

fdRefinement int

The finite-difference kernels' refinement, which this kernel doesn't read.

Returns

ZabrShortMaturityNormalSmileSection

The section, with a fixed reference date.

Exceptions

ArgumentNullException

context is null.

ArgumentOutOfRangeException

fdRefinement is negative.

ArgumentException

The section refuses its arguments.