Module sabr 

The SABR rate smile: the surface, the spec and fit that build one from a grid, the forwards a fit reads, and one point of the smile.

Structs

PySabrFit

A fitted SABR surface and the diagnostics of each slice that built it.

PySabrSpec

How a grid is fitted to SABR: the formula, β and the shift, all stated, and the acceptance — the RMS vol error as a fraction of a slice’s mean quote — with the Halton restarts a slice may spend reaching it.

PySabrVolSurface

A SABR rate smile over expiry × tenor: σ_ATM, ρ and ν at each node, β and the shift stated once, α implied at each read from the ATM vol at the read’s own forward. Pinned with with_swaption_vols or with_cap_vols beside a grid.

Enums

PySabrFormula 🔒

The expansion a SABR smile is read under: Hagan’s lognormal (HaganLognormal), Hagan’s normal (HaganNormal), or the normal β = 0 form that reads a negative forward (NormalBetaZero).

Functions

__pyfunction_alpha_from_atm 🔒 ^⚠

__pyfunction_calibrate_sabr 🔒 ^⚠

__pyfunction_calibrate_sabr_with_atm 🔒 ^⚠

__pyfunction_caplet_forwards 🔒 ^⚠

__pyfunction_sabr_vol 🔒 ^⚠

__pyfunction_swaption_forwards 🔒 ^⚠

alpha_from_atm 🔒

The α that reproduces atm_vol at forward under formula.

calibrate_sabr 🔒

Fits SABR to every node of the smiled grid, each at its forward — forwards[expiry][tenor] — under spec.

calibrate_sabr_with_atm 🔒

Fits SABR on a dense ATM matrix atm with a sparse smile cube: σ_ATM from the matrix at every node, ρ and ν fitted at the cube’s nodes and read onto the matrix’s. Every cube node must be a matrix node.

caplet_forwards 🔒

Each caplet’s expiry (years) and forward on market for the cap on the term index from effective to termination, filtered to the rows the caplet stripper strips; the forwards one per row.

register 🔒

Registers the SABR classes and functions.

sabr_vol 🔒

One point of a SABR smile: the vol at strike for forward and expiry_years, in formula’s convention.

swaption_forwards 🔒

The forward swap rate per (expiry, tenor) on market: the par rate of the swap template drafts starting each expiry after spot and running each tenor. One row per expiry, one value per tenor.