Module sabr 

Structs

CertifiedSabrQuote

One immutable quote read from a CertifiedSabrSurface.

CertifiedSabrSurface

Borrowed proof that a complete rectangular option grid passed static no-arbitrage validation.

SabrSmile

Precomputed intermediates for pricing a SABR smile (multiple strikes, fixed F).

Constants

MAX_SABR_SURFACE_MATURITIES

Maximum number of maturities accepted by certify_sabr_surface.

MAX_SABR_SURFACE_QUOTES

Maximum number of quote pairs accepted by certify_sabr_surface.

MAX_SABR_SURFACE_STRIKES

Maximum number of strikes accepted by certify_sabr_surface.

Functions

certify_sabr_surface

Atomically certify a complete ordered SABR quote surface.

sabr_greeks

Full SABR Greeks via BS(sigma_SABR). Sticky-strike sensitivities.

sabr_implied_vol

SABR implied Black volatility (Hagan 2002 + Obloj 2008 correction).

sabr_precompute

Precompute F-dependent SABR intermediates for batch smile pricing.

sabr_price

SABR European price with a local static-arbitrage guard.

sabr_vol_at

Compute SABR implied vol for a single strike using precomputed intermediates.

sabr_z_over_chi_pade

Degree-3 Taylor approximation of z/chi(z) for SABR implied vol.