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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2015 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/models/calibrationhelper.hpp>
#include <ql/math/solvers1d/brent.hpp>
namespace QuantLib {
class BlackCalibrationHelper::ImpliedVolatilityHelper {
public:
ImpliedVolatilityHelper(const BlackCalibrationHelper& helper,
Real value)
: helper_(helper), value_(value) {}
Real operator()(Volatility x) const {
return value_ - helper_.blackPrice(x);
}
private:
const BlackCalibrationHelper& helper_;
Real value_;
};
Volatility BlackCalibrationHelper::impliedVolatility(Real targetValue,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol) const {
ImpliedVolatilityHelper f(*this,targetValue);
Brent solver;
solver.setMaxEvaluations(maxEvaluations);
return solver.solve(f,accuracy,volatility_->value(),minVol,maxVol);
}
Real BlackCalibrationHelper::calibrationError() {
Real error;
switch (calibrationErrorType_) {
case RelativePriceError:
error = std::fabs(marketValue() - modelValue())/marketValue();
break;
case PriceError:
error = marketValue() - modelValue();
break;
case ImpliedVolError:
{
Real minVol = volatilityType_ == ShiftedLognormal ? 0.0010 : 0.00005;
Real maxVol = volatilityType_ == ShiftedLognormal ? 10.0 : 0.50;
const Real lowerPrice = blackPrice(minVol);
const Real upperPrice = blackPrice(maxVol);
const Real modelPrice = modelValue();
Volatility implied;
if (modelPrice <= lowerPrice)
implied = minVol;
else if (modelPrice >= upperPrice)
implied = maxVol;
else
implied = this->impliedVolatility(
modelPrice, 1e-12, 5000, minVol, maxVol);
error = implied - volatility_->value();
}
break;
default:
QL_FAIL("unknown Calibration Error Type");
}
return error;
}
}
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