SabrModel

SABR as a composable step block (Seam 5):

dF     = alpha F^beta dW1
dalpha = nu alpha dW2 ,   corr(dW1, dW2) = rho

Euler on the forward (absorbed at zero for the F^beta term) and the exact log-Euler on alpha. Used both for a Monte-Carlo price and, via SabrHagan, as the closed-form target inside Calibrator.

View source ↗Full module reference on javadoc.io ↗

Constructors

SabrModel(Nabla.Inputs<SabrMarket> in, double maturity, int steps)

Methods

State start(Nabla.Inputs<SabrMarket> in)

State step(AadRecorder rec, State s, ADouble z1, ADouble zv)

protected ADouble diffusion(ADouble localVol)

Hook: the local volatility alpha * F^beta on the forward. Identity for plain SABR.

static BiConsumer<AadRecorder, Nabla.Inputs<SabrMarket>> european(OptionType type, double maturity, int steps)

European call/put on the terminal forward, discounted at the flat rate.