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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Joseph Wang
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/models/volatility/garch.hpp>
#include <ql/errors.hpp>
namespace QuantLib {
TimeSeries<Volatility>
Garch11::calculate(const TimeSeries<Volatility>& qs) {
return calculate(qs, alpha_, beta_, gamma_* vl_);
}
TimeSeries<Volatility>
Garch11::calculate(const TimeSeries<Volatility>& qs,
Real alpha, Real beta, Real omega) {
TimeSeries<Volatility> retval;
TimeSeries<Volatility>::const_iterator cur = qs.begin();
retval[cur->first] = cur->second;
Real sigma2 = cur->second * cur->second;
++cur;
while (cur != qs.end()) {
Real u = cur->second;
sigma2 = omega + alpha * u * u +
beta * sigma2;
retval[cur->first] = std::sqrt(sigma2);
++cur;
}
return retval;
}
void Garch11::calibrate(const TimeSeries<Volatility>&) {}
Real Garch11::costFunction(const TimeSeries<Volatility>& qs,
Real alpha, Real beta, Real omega) {
Real retval(0.0);
TimeSeries<Volatility> test =
calculate(qs, alpha, beta, omega);
std::vector<Volatility> testValues = test.values();
std::vector<Volatility> quoteValues = qs.values();
QL_REQUIRE(testValues.size() == quoteValues.size(),
"quote and test values do not match");
std::vector<Volatility>::const_iterator i_t, i_q;
i_t = testValues.begin();
i_q = quoteValues.begin();
while (i_t != testValues.end()) {
Real v = (*i_q) * (*i_q);
Real u2 = (*i_t) * (*i_t);
retval += 2.0 * std::log(v) + u2/ (v*v);
i_t++;
i_q++;
}
return retval;
}
}
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