SabrSmileSection::SabrSmileSection(Time timeToExpiry,
Rate forward,
const std::vector<Real>& sabrParams)
: SmileSection(timeToExpiry), forward_(forward) {
alpha_ = sabrParams[0];
beta_ = sabrParams[1];
nu_ = sabrParams[2];
rho_ = sabrParams[3];
QL_REQUIRE(forward_>0.0, "at the money forward rate must be "
"positive: " << io::rate(forward_) << " not allowed");
validateSabrParameters(alpha_, beta_, nu_, rho_);
}
Real sabrVolatility(Rate strike,
Rate forward,
Time expiryTime,
Real alpha,
Real beta,
Real nu,
Real rho) {
QL_REQUIRE(strike>0.0, "strike must be positive: "
<< io::rate(strike) << " not allowed");
QL_REQUIRE(forward>0.0, "at the money forward rate must be "
"positive: " << io::rate(forward) << " not allowed");
QL_REQUIRE(expiryTime>=0.0, "expiry time must be non-negative: "
<< expiryTime << " not allowed");
validateSabrParameters(alpha, beta, nu, rho);
return unsafeSabrVolatility(strike, forward, expiryTime,
alpha, beta, nu, rho);
}
