/src/main/java/net/finmath/functions/SABRModel.java
final double rho = 0.0;final double alpha = 0.006;
final double alpha = 0.006;
public static double[] sabrCalibrateParameterForImpliedNormalVols(final double underlying, final double maturity, final double[] givenStrikes, final double[] givenVolatilities) throws SolverException { final double[] parameterLowerBound = { 0.0, 0.0, 0.0, 0.0, Double.NEGATIVE_INFINITY}; final double[] parameterUpperBound = {Double.POSITIVE_INFINITY, 1.0, 1.0, Double.POSITIVE_INFINITY, Double.POSITIVE_INFINITY}; return sabrCalibrateParameterForImpliedNormalVols(underlying, maturity, givenStrikes, givenVolatilities, parameterLowerBound, parameterUpperBound); } public static double[] sabrCalibrateParameterForImpliedNormalVols(final double underlying, final double maturity, final double[] givenStrikes, final double[] givenVolatilities, final double[] parameterLowerBound, final double[] parameterUpperBound) throws SolverException { <extra_id_0> final double beta = 0.05; final double rho = 0.0; final double nu = 0.075; final double displacement = 0.02; final double[] parameterInitialValues = { alpha, beta, rho, nu, displacement }; final double[] parameterSteps = { 0.5/100.0/100.0, 1.0/100.0, 0.5/100.0, 0.5/100.0, 0.1/100.0 };