- getConvention
Gets the swap convention that the volatilities are to be used for.
- getDataSensitivityAlpha
Gets the sensitivity of the Alpha parameters to the raw data used for
calibration. The order of the
- getDataSensitivityNu
Gets the sensitivity of the Nu parameters to the raw data used for calibration.
The order of the se
- getDataSensitivityRho
Gets the sensitivity of the Rho parameters to the raw data used for calibration.
The order of the s
- getDayCount
Gets the day count used to calculate the expiry year fraction.
- getName
Gets the name.
- getParameters
Gets the SABR model parameters. Each model parameter of SABR model is a surface.
The x-value of the
- getValuationDateTime
Gets the valuation date-time. The volatilities are calibrated for this
date-time.
- parameterSensitivity
- <init>
- alpha
- beta