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

Module = Computational Core Module
Library = Numerical Analysis Library
Project = R^d To R^d Function Analysis
Package = Built-in R¹ To R¹ Functions

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

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

Method Summary

Modifier and Type	Method	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

antiDerivative, derivative, differential, differential, integrate, maxima, maxima, minima, minima, poleResidue

Methods inherited from class java.lang.Object

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

Constructor Details
- 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 Details
- 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