Package com.opengamma.analytics.financial.model.volatility.smile.function

Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction

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    _chiSqEps = 1e-4;
  }

  @Override
  VolatilityFunctionProvider<SABRFormulaData> getModel() {
    return new SABRHaganVolatilityFunction();
  }
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  /**
   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1() {
    return createSABR1(new SABRHaganVolatilityFunction());
  }
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   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by a given shift with respect to SABR1.
   * @param shift The shift.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1AlphaBumped(final double shift) {
    return createSABR1AlphaBumped(new SABRHaganVolatilityFunction(), shift);
  }
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  /**
   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by 0.0001 with respect to SABR1.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1AlphaBumped() {
    return createSABR1AlphaBumped(new SABRHaganVolatilityFunction());
  }
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   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Beta data is bumped by a given shift with respect to SABR1.
   * @param shift The shift.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1BetaBumped(final double shift) {
    return createSABR1BetaBumped(new SABRHaganVolatilityFunction(), shift);
  }
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   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by a given shift with respect to SABR1.
   * @param shift The shift.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1RhoBumped(final double shift) {
    return createSABR1RhoBumped(new SABRHaganVolatilityFunction(), shift);
  }
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   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by 0.0001 with respect to SABR1.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1RhoBumped() {
    final double shift = 0.0001;
    return createSABR1RhoBumped(new SABRHaganVolatilityFunction(), shift);
  }
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   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Nu data is bumped by a given shift with respect to SABR1.
   * @param shift The shift.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1NuBumped(final double shift) {
    return createSABR1NuBumped(new SABRHaganVolatilityFunction(), shift);
  }
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   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Nu data is bumped by 0.0001 with respect to SABR1.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1NuBumped() {
    final double shift = 0.0001;
    return createSABR1NuBumped(new SABRHaganVolatilityFunction(), shift);
  }
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  }

  public static SABRInterestRateParameters createSABR1ParameterBumped(final double shift, final int parameterNumber) {
    switch (parameterNumber) {
      case 0:
        return createSABR1AlphaBumped(new SABRHaganVolatilityFunction(), shift);
      case 1:
        return createSABR1RhoBumped(new SABRHaganVolatilityFunction(), shift);
      case 2:
        return createSABR1NuBumped(new SABRHaganVolatilityFunction(), shift);
      default:
        return null;
    }
  }
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