Module sabr 

A SABR rate smile surface, parameterised by the at-the-money vol a desk quotes.

One node per (expiry, tenor) holds σ_ATM, ρ and ν — the lifted parameters, so a risk pass reports ATM vega, rho-vega and nu-vega directly. β, the shift and the formula are surface data. A read interpolates the three node parameters bilinearly in (expiry, tenor), flat outside the grid, implies α from σ_ATM at the read’s forward through the ATM cubic (alpha_from_atm), and returns the formula’s vol at the strike — so the at-the-money vol reprices exactly at every node and every point between, and the forward’s adjoints flow through the vol (SABR’s sticky-model delta).

A caplet surface is the same shape with one tenor column, the index tenor.

Structs

SabrVolSurface

A SABR rate smile surface over expiry × tenor, in years.

SabrVolView

A SABR surface lifted into mode R.

Enums

SabrParameter

Which of a node’s three parameters a risk row or a scenario names.

SabrRegistry

Which rate registry a SABR surface is pinned in — what its risk keys name.

Functions

ascending 🔒

bracket 🔒

Linear weights of x over nodes, flat outside: (lo, hi, w) with the value v[lo]·(1 − w) + v[hi]·w.