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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 StatPro Italia srl
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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.
*/
#include <ql/instruments/impliedvolatility.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/math/solvers1d/brent.hpp>
namespace QuantLib {
namespace {
class PriceError {
public:
PriceError(const PricingEngine& engine,
SimpleQuote& vol,
Real targetValue);
Real operator()(Volatility x) const;
private:
const PricingEngine& engine_;
SimpleQuote& vol_;
Real targetValue_;
const Instrument::results* results_;
};
PriceError::PriceError(const PricingEngine& engine,
SimpleQuote& vol,
Real targetValue)
: engine_(engine), vol_(vol), targetValue_(targetValue) {
results_ =
dynamic_cast<const Instrument::results*>(engine_.getResults());
QL_REQUIRE(results_ != 0,
"pricing engine does not supply needed results");
}
Real PriceError::operator()(Volatility x) const {
vol_.setValue(x);
engine_.calculate();
return results_->value-targetValue_;
}
}
Volatility ImpliedVolatilityHelper::calculate(
const Instrument& instrument,
const PricingEngine& engine,
SimpleQuote& volQuote,
Real targetValue,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol) {
instrument.setupArguments(engine.getArguments());
engine.getArguments()->validate();
PriceError f(engine, volQuote, targetValue);
Brent solver;
solver.setMaxEvaluations(maxEvaluations);
Volatility guess = (minVol+maxVol)/2.0;
Volatility result = solver.solve(f, accuracy, guess, minVol, maxVol);
return result;
}
boost::shared_ptr<GeneralizedBlackScholesProcess>
ImpliedVolatilityHelper::clone(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
const boost::shared_ptr<SimpleQuote>& volQuote) {
Handle<Quote> stateVariable = process->stateVariable();
Handle<YieldTermStructure> dividendYield = process->dividendYield();
Handle<YieldTermStructure> riskFreeRate = process->riskFreeRate();
Handle<BlackVolTermStructure> blackVol = process->blackVolatility();
Handle<BlackVolTermStructure> volatility(
boost::shared_ptr<BlackVolTermStructure>(
new BlackConstantVol(blackVol->referenceDate(),
blackVol->calendar(),
Handle<Quote>(volQuote),
blackVol->dayCounter())));
return boost::shared_ptr<GeneralizedBlackScholesProcess>(
new GeneralizedBlackScholesProcess(stateVariable, dividendYield,
riskFreeRate, volatility));
}
}
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