CalibrateSABR2

High level graphic of CalibrateSABR2() function with parameters. Blue square node is the actual function with the parameters ordered.

1. CalibATMVol parameter
   
   
   Calibrate for the 'ATMVol' parameter (true) or keep the current value (false).
2. CalibAlpha parameter
   
   
   Calibrate for the 'Alpha' parameter (true) or keep the current value (false).
3. CalibBeta parameter
   
   
   Calibrate for the 'Beta' parameter (true) or keep the current value (false).
4. CalibRho parameter
   
   
   Calibrate for the 'Rho' parameter (true) or keep the current value (false).
5. SABRVCKey parameter
   
   
   Key to an already created SABRVolCurve object. Required both for obtaining starting guess values as well as obtaining fixed values for those SABR parameters that are not to be calibrated.
6. VCKey parameter
   
   
   Key to an already created ExpiryKVolMatrix object. For a single interest rate underlying, this object specifies the volatility smile for all possible option maturities.
7. YCKey parameter
   
   
   Key to an already constructed YieldCurve object. The underlying rate will be computed via this object.
8. OptimizationObject parameter
   
   
   Key to an already created Optimization object ( LevenbergMarquardt(), ConjugateGradient(), SteepestDescent() or Simplex() ).

Variant CTSABRCalibration.CalibrateSABR2( _
Boolean CalibATMVol, _
Boolean CalibAlpha, _
Boolean CalibBeta, _
Boolean CalibRho, _
String SABRVCKey, _
String VCKey, _
String YCKey, _
String OptimizationObject)

=CT.ENG.CalibrateSABR2(
Excel Boolean Value Cell CalibATMVol,
Excel Boolean Value Cell CalibAlpha,
Excel Boolean Value Cell CalibBeta,
Excel Boolean Value Cell CalibRho,
Excel String Cell SABRVCKey,
Excel String Cell VCKey,
Excel String Cell YCKey,
Excel String Cell OptimizationObject)

static CTRangeDataCPP CalibrateSABR2(
bool CalibATMVol,
bool CalibAlpha,
bool CalibBeta,
bool CalibRho,
std::string SABRVCKey,
std::string VCKey,
std::string YCKey,
std::string OptimizationObject);

CTRangeData CTSABRCalibrationSA.CalibrateSABR2(
System.Boolean CalibATMVol,
System.Boolean CalibAlpha,
System.Boolean CalibBeta,
System.Boolean CalibRho,
System.String SABRVCKey,
System.String VCKey,
System.String YCKey,
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 )
• SABRVolCurve() ( CT.QL.Curves20 )
• ExpiryKVolMatrix() ( CT.QL.Curves20 )
• MKTYC_D() ( CT.QL.Curves20 )
• CalibrateSABR2() ( CT.QL.Models20 )

• Example VB.NET Driver function. Preparing the parameters and the final function call (the result).
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• 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).