Model[Vol Curve]


"Model[Vol Curve]" is a special type of Model
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with functions Model[Vol Curve] Functions, direct subtypes Model[Vol Curve] subtypes, keys Model[Vol Curve] keys and example object VolCrvMdl

TYPE INCLUSION RELATIONSHIPS

Model Valuation

Model Vol Curve

Vol Crv Pick Model

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Alpha Shift

Beta Shift

Delta Mode

Nu Shift

Rho Shift

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TYPICAL OBJECTS OF TYPE Model[Vol Curve]

VolCrvMdl

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This type represents modelling assumptions relating to the type Vol Curve that may be needed during some valuation algorithm.
In particular, it supplies the shift sizes of the various market data involved in delta sensitivity calculations.
All that is required, is the presence of a "Model[Vol Curve]" object in the input model collection of the valuation routine.
Specifically, the Delta Mode entry determines how the market data must be shifted.
The Delta Shift entry defines the shift amount.

In the special case of SABR vol, i.e. when a SABR Model object is directly referenced, the risk wrt to a SABR parameter is calculated only when that parameter is kept fixed.
For example, the risk wrt to the SABR parameter Alpha is calculated only if the SABR Model object contains Alpha fixed = true
If all four SABR parameters are kept fixed, no risk wrt market vols is generated since the result would be zero in this case.