org.drip.function.r1tor1

Class SABRLIBORCapVolatility

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.function.r1tor1.SABRLIBORCapVolatility

public class SABRLIBORCapVolatility
extends R1ToR1

SABRLIBORCapVolatility implements the Deterministic, Non-local Cap Volatility Scheme detailed in: - Rebonato, R., K. McKay, and R. White (2009): The SABR/LIBOR Market Model: Pricing, Calibration, and Hedging for Complex Interest-Rate Derivatives, John Wiley and Sons.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
SABRLIBORCapVolatility(double dblEpoch, double dblA, double dblB, double dblC, double dblD) SABRLIBORCapVolatility Constructor

Method Summary

Modifier and Type	Method and Description
double	A() Return "A"
double	B() Return "B"
double	C() Return "C"
double	D() Return "D"
double	epoch() Return the Epoch
double	evaluate(double dblVariate) Evaluate for the given variate

Methods inherited from class org.drip.function.definition.R1ToR1

derivative, differential, differential, integrate, maxima, maxima, minima, minima

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

SABRLIBORCapVolatility

public SABRLIBORCapVolatility(double dblEpoch,
                              double dblA,
                              double dblB,
                              double dblC,
                              double dblD)
                       throws java.lang.Exception

SABRLIBORCapVolatility Constructor

Parameters:

dblEpoch - Epoch

dblA - A

dblB - B

dblC - C

dblD - D

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Detail

evaluate

public double evaluate(double dblVariate)
                throws java.lang.Exception

Description copied from class: R1ToR1

Evaluate for the given variate

Specified by:

evaluate in class R1ToR1

Parameters:

dblVariate - Variate

Returns:

Returns the calculated value

Throws:

java.lang.Exception - Thrown if evaluation cannot be done

A

public double A()

Return "A"

Returns:

"A"

B

public double B()

Return "B"

Returns:

"B"

C

public double C()

Return "C"

Returns:

"C"

D

public double D()

Return "D"

Returns:

"D"

epoch

public double epoch()

Return the Epoch

Returns:

The Epoch