SABR + SmileSection: deferred variants
Deferred visibly from B3a (#582-585), which ships the core SABR formula + calibration + the SmileSection
trait + SabrSmileSection (the foundation for the B3b swaption vol cube).
Deferred
shiftedSabrVolatility (sabr.hpp:84) - the displaced-diffusion SABR (shift != 0); and the
shift != 0 path on SabrSmileSection.
sabrFlochKennedyVolatility (sabr.hpp:94) - the Le Floch-Kennedy expansion.
- The generic
XABRInterpolation<Specs> framework - B3a ports SABRInterpolation as a concrete
calibration; the generic template + other smile models (SVI, Vanna-Volga, ZABR) are out of scope.
InterpolatedSmileSection and the SmileSectionUtils.
SmileSection::density / vega if not ported in T3.
FdSabr (the PDE SABR model, fdsabr.cpp).
- SABRInterpolation robustness knobs (
errorAccept / useMaxError / dontThrow) if deferred in T2.
Priority: low-medium (the core SABR + smile + calibration are the load-bearing pieces for the cube).
Epic: EPIC-10 #358.
SABR + SmileSection: deferred variants
Deferred visibly from B3a (#582-585), which ships the core SABR formula + calibration + the SmileSection
trait + SabrSmileSection (the foundation for the B3b swaption vol cube).
Deferred
shiftedSabrVolatility(sabr.hpp:84) - the displaced-diffusion SABR (shift != 0); and theshift != 0path onSabrSmileSection.sabrFlochKennedyVolatility(sabr.hpp:94) - the Le Floch-Kennedy expansion.XABRInterpolation<Specs>framework - B3a ports SABRInterpolation as a concretecalibration; the generic template + other smile models (SVI, Vanna-Volga, ZABR) are out of scope.
InterpolatedSmileSectionand theSmileSectionUtils.SmileSection::density/vegaif not ported in T3.FdSabr(the PDE SABR model,fdsabr.cpp).errorAccept/useMaxError/dontThrow) if deferred in T2.Priority: low-medium (the core SABR + smile + calibration are the load-bearing pieces for the cube).
Epic: EPIC-10 #358.