CalibrateSABR

High level graphic of CalibrateSABR() function with parameters. Blue square node is the actual function with the parameters ordered.

1. ATMVol parameter
   
   
   Starting point for the At-the-money volatility.
2. Alpha parameter
   
   
   Starting point for the Alpha parameter.
3. Beta parameter
   
   
   Starting point for the Beta parameter.
4. Rho parameter
   
   
   Starting point for the Rho parameter.
5. CalibATMVol parameter
   
   
   Calibrate for the 'ATMVol' parameter (true) or keep the current value (false).
6. CalibAlpha parameter
   
   
   Calibrate for the 'Alpha' parameter (true) or keep the current value (false).
7. CalibBeta parameter
   
   
   Calibrate for the 'Beta' parameter (true) or keep the current value (false).
8. CalibRho parameter
   
   
   Calibrate for the 'Rho' parameter (true) or keep the current value (false).
9. CalibInstKey parameter
   
   
   Calibration Instrument object Key to an already constructed SABR Calibration instrument object (You can create this object via a call to SABRCalibInst(), SABRCalibInst2() or SABRCalibInst3()).
10. OptimizationObject parameter
    
    
    Key to an already created Optimization object ( LevenbergMarquardt(), ConjugateGradient(), SteepestDescent() or Simplex() ).

Variant CTSABRCalibration.CalibrateSABR( _
Double ATMVol, _
Double Alpha, _
Double Beta, _
Double Rho, _
Boolean CalibATMVol, _
Boolean CalibAlpha, _
Boolean CalibBeta, _
Boolean CalibRho, _
String CalibInstKey, _
String OptimizationObject)

=CT.ENG.CalibrateSABR(
Excel Numeric Cell ATMVol,
Excel Numeric Cell Alpha,
Excel Numeric Cell Beta,
Excel Numeric Cell Rho,
Excel Boolean Value Cell CalibATMVol,
Excel Boolean Value Cell CalibAlpha,
Excel Boolean Value Cell CalibBeta,
Excel Boolean Value Cell CalibRho,
Excel String Cell CalibInstKey,
Excel String Cell OptimizationObject)

static CTRangeDataCPP CalibrateSABR(
double ATMVol,
double Alpha,
double Beta,
double Rho,
bool CalibATMVol,
bool CalibAlpha,
bool CalibBeta,
bool CalibRho,
std::string CalibInstKey,
std::string OptimizationObject);

CTRangeData CTSABRCalibrationSA.CalibrateSABR(
System.Double ATMVol,
System.Double Alpha,
System.Double Beta,
System.Double Rho,
System.Boolean CalibATMVol,
System.Boolean CalibAlpha,
System.Boolean CalibBeta,
System.Boolean CalibRho,
System.String CalibInstKey,
System.String OptimizationObject);

• LevenbergMarquardt() ( CT.QL.Models20 )
• ValueDateObj() ( CT.QL.Utils20 )
• CALUKExchange() ( CT.QL.Curves20 )
• CALEURO() ( CT.QL.Curves20 )
• CreateDepoTemplate() ( CT.QL.Curves20 )
• CreateSwapTemplate() ( CT.QL.Curves20 )
• ExpiryKVolMatrix() ( CT.QL.Curves20 )
• MKTYC_D() ( CT.QL.Curves20 )
• SABRCalibInst3() ( CT.QL.Models20 )
• CalibrateSABR() ( CT.QL.Models20 )

• Example VB.NET Driver function. Preparing the parameters and the final function call (the result).
• Example C# Driver function. Preparing the parameters, sub-function calls and the final function call (the result).
• Example C++.NET Driver function. Preparing the parameters and the final function call (the result).
• Example J# Driver function. Preparing the parameters and the final function call (the result).

• Example Visual Basic 6 Driver function. Preparing the parameters and the final function call (the result).
• Example Excel VBA Driver function. Preparing the parameters and the final function call (the result).
• Example C++ Driver function. Preparing the parameters and the final function call (the result).
• Example Java Driver function. Preparing the parameters and the final function call (the result).