Implementation:Avhz RustQuant SABR Process

Knowledge Sources	RustQuant
Domains	Stochastic_Processes, Quantitative_Finance
Last Updated	2026-02-07 19:00 GMT

Overview

Struct definition for the SABR (Stochastic Alpha, Beta, Rho) volatility model provided by the RustQuant library. Note: the StochasticProcess trait is not yet implemented for this struct (commented out in the source).

Description

The SABR model is a two-factor stochastic volatility model widely used for modeling the volatility smile in interest rate derivatives. The system of SDEs is:

dF(t) = sigma(t) * F(t)^beta dW_1(t)

dsigma(t) = alpha * sigma(t) dW_2(t)

where W_1 and W_2 are correlated Brownian motions with correlation rho. The model parameters control different aspects of the volatility surface:

• alpha controls the volatility of volatility (vol-of-vol)
• beta controls the backbone/skewness (in [0, 1])
• rho controls the correlation between the forward rate and its volatility (in [-1, 1])

Key parameters:

• alpha (ModelParameter) -- Volatility of volatility, in [0, infinity)
• beta (ModelParameter) -- Skewness/backbone parameter, in [0, 1]
• rho (ModelParameter) -- Correlation between forward and vol processes, in [-1, 1]

Usage

Use this model for calibrating and interpolating the implied volatility surface of interest rate options (swaptions, caps/floors). The SABR model is the industry standard for interest rate volatility modeling. Note that the current implementation defines the struct and constructor but the StochasticProcess trait methods are not yet implemented.

Code Reference

Source Location

• Repository: RustQuant
• File: crates/RustQuant_stochastics/src/sabr.rs
• Lines: 1-69

Signature

pub struct SABR {
    pub alpha: ModelParameter,
    pub beta: ModelParameter,
    pub rho: ModelParameter,
}

impl SABR {
    pub fn new(
        alpha: impl Into<ModelParameter>,
        beta: impl Into<ModelParameter>,
        rho: impl Into<ModelParameter>,
    ) -> Self
}

Import

use RustQuant::stochastics::SABR;

I/O Contract

Inputs

Name	Type	Required	Description
alpha	impl Into<ModelParameter>	Yes	Volatility of volatility, in [0, infinity)
beta	impl Into<ModelParameter>	Yes	Backbone/skewness parameter, in [0, 1]
rho	impl Into<ModelParameter>	Yes	Correlation between forward and volatility, in [-1, 1]

Outputs

Name	Type	Description
SABR	struct	The parameterized SABR model instance (StochasticProcess trait not yet implemented)

Usage Examples

use RustQuant::stochastics::SABR;

// Create a SABR model: alpha=0.3, beta=0.5, rho=-0.25
let sabr = SABR::new(0.3, 0.5, -0.25);

// Access parameters
// Note: StochasticProcess trait methods (drift, diffusion, jump)
// are not yet implemented for SABR.

Related Pages

• Principle:Avhz_RustQuant_Stochastic_Process_Simulation