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Define and correctly spell SabrParametricVolatility calibration-grid axis accessors #348

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Define and correctly spell SabrParametricVolatility calibration-grid axis accessors #348

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4 changes: 4 additions & 0 deletions QuantExt/qle/termstructures/sabrparametricvolatility.cpp
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Expand Up @@ -71,6 +71,10 @@ ParametricVolatility::MarketQuoteType SabrParametricVolatility::preferredOutputQ
}
}

const std::vector<Real>& SabrParametricVolatility::timeToExpiries() const { return timeToExpiries_; }

const std::vector<Real>& SabrParametricVolatility::underlyingLengths() const { return underlyingLengths_; }

std::vector<Real> SabrParametricVolatility::getGuess(const std::vector<std::pair<Real, ParameterCalibration>>& params,
const std::vector<Real>& randomSeq, const Real forward,
const Real lognormalShift) const {
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8 changes: 4 additions & 4 deletions QuantExt/qle/termstructures/sabrparametricvolatility.hpp
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Expand Up @@ -60,10 +60,10 @@ class SabrParametricVolatility final : public ParametricVolatility {
const QuantLib::Real outputLognormalShift = QuantLib::Null<QuantLib::Real>(),
const QuantLib::ext::optional<QuantLib::Option::Type> outputOptionType = QuantLib::ext::nullopt) const override;

// the calculated grid of option expiries and the underlying lenghts
const std::vector<Real>& timeToEpiries() const;
const std::vector<Real>& underlyingLenghts() const;
// calibrated or interpolated model parameters (rows = underlying lenghts, cols = option expiries)
// the calculated grid of option expiries and the underlying lengths
const std::vector<Real>& timeToExpiries() const;
const std::vector<Real>& underlyingLengths() const;
// calibrated or interpolated model parameters (rows = underlying lengths, cols = option expiries)
const QuantLib::Matrix& alpha() const { return alpha_; }
const QuantLib::Matrix& beta() const { return beta_; }
const QuantLib::Matrix& nu() const { return nu_; }
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