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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 Peter Caspers
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/experimental/volatility/sviinterpolatedsmilesection.hpp>
#include <ql/settings.hpp>
#include <ql/quotes/simplequote.hpp>
namespace QuantLib {
SviInterpolatedSmileSection::SviInterpolatedSmileSection(
const Date &optionDate, const Handle<Quote> &forward,
const std::vector<Rate> &strikes, bool hasFloatingStrikes,
const Handle<Quote> &atmVolatility,
const std::vector<Handle<Quote> > &volHandles, Real a, Real b, Real sigma,
Real rho, Real m, bool isAFixed, bool isBFixed, bool isSigmaFixed,
bool isRhoFixed, bool isMFixed, bool vegaWeighted,
const ext::shared_ptr<EndCriteria> &endCriteria,
const ext::shared_ptr<OptimizationMethod> &method, const DayCounter &dc)
: SmileSection(optionDate, dc), forward_(forward),
atmVolatility_(atmVolatility), volHandles_(volHandles), strikes_(strikes),
actualStrikes_(strikes), hasFloatingStrikes_(hasFloatingStrikes),
vols_(volHandles.size()), a_(a), b_(b), sigma_(sigma), rho_(rho), m_(m),
isAFixed_(isAFixed), isBFixed_(isBFixed), isSigmaFixed_(isSigmaFixed),
isRhoFixed_(isRhoFixed), isMFixed_(isMFixed), vegaWeighted_(vegaWeighted),
endCriteria_(endCriteria), method_(method) {
LazyObject::registerWith(forward_);
LazyObject::registerWith(atmVolatility_);
for (Size i = 0; i < volHandles_.size(); ++i)
LazyObject::registerWith(volHandles_[i]);
}
SviInterpolatedSmileSection::SviInterpolatedSmileSection(
const Date &optionDate, const Rate &forward,
const std::vector<Rate> &strikes, bool hasFloatingStrikes,
const Volatility &atmVolatility, const std::vector<Volatility> &volHandles,
Real a, Real b, Real sigma, Real rho, Real m, bool isAFixed, bool isBFixed,
bool isSigmaFixed, bool isRhoFixed, bool isMFixed, bool vegaWeighted,
const ext::shared_ptr<EndCriteria> &endCriteria,
const ext::shared_ptr<OptimizationMethod> &method, const DayCounter &dc)
: SmileSection(optionDate, dc),
forward_(
Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(forward)))),
atmVolatility_(Handle<Quote>(
ext::shared_ptr<Quote>(new SimpleQuote(atmVolatility)))),
volHandles_(volHandles.size()), strikes_(strikes),
actualStrikes_(strikes), hasFloatingStrikes_(hasFloatingStrikes),
vols_(volHandles.size()), a_(a), b_(b), sigma_(sigma), rho_(rho), m_(m),
isAFixed_(isAFixed), isBFixed_(isBFixed), isSigmaFixed_(isSigmaFixed),
isRhoFixed_(isRhoFixed), isMFixed_(isMFixed), vegaWeighted_(vegaWeighted),
endCriteria_(endCriteria), method_(method) {
for (Size i = 0; i < volHandles_.size(); ++i)
volHandles_[i] = Handle<Quote>(
ext::shared_ptr<Quote>(new SimpleQuote(volHandles[i])));
}
void SviInterpolatedSmileSection::createInterpolation() const {
ext::shared_ptr<SviInterpolation> tmp(new SviInterpolation(
actualStrikes_.begin(), actualStrikes_.end(), vols_.begin(),
exerciseTime(), forwardValue_, a_, b_, sigma_, rho_, m_, isAFixed_,
isBFixed_, isSigmaFixed_, isRhoFixed_, isMFixed_, vegaWeighted_,
endCriteria_, method_));
swap(tmp, sviInterpolation_);
}
void SviInterpolatedSmileSection::performCalculations() const {
forwardValue_ = forward_->value();
vols_.clear();
actualStrikes_.clear();
// we populate the volatilities, skipping the invalid ones
for (Size i = 0; i < volHandles_.size(); ++i) {
if (volHandles_[i]->isValid()) {
if (hasFloatingStrikes_) {
actualStrikes_.push_back(forwardValue_ + strikes_[i]);
vols_.push_back(atmVolatility_->value() +
volHandles_[i]->value());
} else {
actualStrikes_.push_back(strikes_[i]);
vols_.push_back(volHandles_[i]->value());
}
}
}
// we are recreating the sabrinterpolation object unconditionnaly to
// avoid iterator invalidation
createInterpolation();
sviInterpolation_->update();
}
Real SviInterpolatedSmileSection::varianceImpl(Real strike) const {
calculate();
Real v = (*sviInterpolation_)(strike, true);
return v * v * exerciseTime();
}
}
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