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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Mario Pucci
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/termstructures/volatility/smilesection.hpp>
#include <ql/termstructures/volatility/sabr.hpp>
#include <ql/settings.hpp>
#include <ql/utilities/dataformatters.hpp>
namespace QuantLib {
void SmileSection::update() {
if (!isFloating_)
return;
referenceDate_ = Settings::instance().evaluationDate();
initializeExerciseTime();
}
void SmileSection::initializeExerciseTime() const {
if (!isFloating_)
return;
QL_REQUIRE(exerciseDate_>=referenceDate_,
"expiry date (" << exerciseDate_ <<
") must be greater than reference date (" <<
referenceDate_ << ")");
exerciseTime_ = dc_.yearFraction(referenceDate_, exerciseDate_);
}
SmileSection::SmileSection(const Date& d,
const DayCounter& dc,
const Date& referenceDate)
: exerciseDate_(d), dc_(dc) {
isFloating_ = referenceDate==Date();
if (isFloating_) {
registerWith(Settings::instance().evaluationDate());
referenceDate_ = Settings::instance().evaluationDate();
} else
referenceDate_ = referenceDate;
initializeExerciseTime();
}
SmileSection::SmileSection(Time exerciseTime,
const DayCounter& dc)
: isFloating_(false), dc_(dc), exerciseTime_(exerciseTime) {
QL_REQUIRE(exerciseTime_>=0.0,
"expiry time must be positive: " <<
exerciseTime_ << " not allowed");
}
SabrSmileSection::SabrSmileSection(const Time timeToExpiry,
Rate forward,
const std::vector<Real>& sabrParams)
: SmileSection(timeToExpiry), forward_(forward) {
alpha_ = sabrParams[0];
beta_ = sabrParams[1];
nu_ = sabrParams[2];
rho_ = sabrParams[3];
QL_REQUIRE(forward_>0.0, "forward must be positive: "
<< io::rate(forward_) << " not allowed");
validateSabrParameters(alpha_, beta_, nu_, rho_);
}
SabrSmileSection::SabrSmileSection(const Date& d,
Rate forward,
const std::vector<Real>& sabrParams,
const DayCounter& dc)
: SmileSection(d, dc), forward_(forward) {
alpha_ = sabrParams[0];
beta_ = sabrParams[1];
nu_ = sabrParams[2];
rho_ = sabrParams[3];
QL_REQUIRE(forward_>0.0, "forward must be positive: "
<< io::rate(forward_) << " not allowed");
validateSabrParameters(alpha_, beta_, nu_, rho_);
}
Real SabrSmileSection::varianceImpl(Rate strike) const {
Volatility vol = unsafeSabrVolatility(strike, forward_,
exerciseTime(), alpha_, beta_, nu_, rho_);
return vol*vol*exerciseTime();
}
Real SabrSmileSection::volatilityImpl(Rate strike) const {
return unsafeSabrVolatility(strike, forward_,
exerciseTime(), alpha_, beta_, nu_, rho_);
}
}
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