1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
|
/*
Copyright (C) 2001, 2002 Sadruddin Rejeb
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file g2.hpp
\brief Two-additive-factor Gaussian Model G2++
\fullpath
ql/InterestRateModelling/TwoFactorModels/%g2.hpp
*/
// $Id: g2.cpp,v 1.8 2002/03/05 01:10:37 sadrejeb Exp $
#include "ql/InterestRateModelling/TwoFactorModels/g2.hpp"
#include "ql/Math/normaldistribution.hpp"
namespace QuantLib {
namespace InterestRateModelling {
using Optimization::Constraint;
class G2::OwnConstraint : public Constraint {
virtual bool test(const Array& params) const {
if (params[1]<=0.0)
return false;
if (params[3]<=0.0)
return false;
if (QL_FABS(params[4])>1.0)
return false;
return true;
}
virtual void correct(Array& params) const {
params[1] = QL_MAX(params[1], 0.0000001);
params[3] = QL_MAX(params[3], 0.0000001);
if (params[4] > 1.0)
params[4] = 1.0;
if (params[4] < -1.0)
params[4] = -1.0;
}
};
G2::G2(const RelinkableHandle<TermStructure>& termStructure)
: TwoFactorModel(6, termStructure),
a_(parameters_[0]),
sigma_(parameters_[1]),
b_(parameters_[2]),
eta_(parameters_[3]),
rho_(parameters_[4]),
phi_(parameters_[5]) {
a_ = ConstantParameter(0.1);
sigma_ = ConstantParameter(0.1);
b_ = ConstantParameter(0.1);
eta_ = ConstantParameter(0.1);
rho_ = ConstantParameter(0.1);
generateParameters();
constraint_ = Handle<Constraint>(new OwnConstraint());
}
double G2::discountBondOption(Option::Type type,
double strike, Time maturity, Time bondMaturity) const {
double discountT = termStructure()->discount(maturity);
double discountS = termStructure()->discount(bondMaturity);
if (maturity < QL_EPSILON) {
switch(type) {
case Option::Call: return QL_MAX(discountS - strike, 0.0);
case Option::Put: return QL_MAX(strike - discountS, 0.0);
default: throw Error("unsupported option type");
}
}
double sigma = sigmaP(maturity, bondMaturity);
double d1 = QL_LOG(discountS/(strike*discountT))/sigma +
sigma/2.0;
double d2 = d1 - sigma;
double sFactor;
double tFactor;
Math::CumulativeNormalDistribution f;
switch(type) {
case Option::Call:
sFactor = f(d1);
tFactor = -f(d2);
break;
case Option::Put:
sFactor = -f(-d1);
tFactor = f(-d2);
break;
default:
throw Error("unsupported option type");
}
return discountS*sFactor + strike*discountT*tFactor;
}
}
}
|
