1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
|
/* -*- 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.
*/
/*! \file calibrationhelper.hpp
\brief Calibration helper class
*/
#ifndef quantlib_interest_rate_modelling_calibration_helper_h
#define quantlib_interest_rate_modelling_calibration_helper_h
#include <ql/patterns/lazyobject.hpp>
#include <ql/quote.hpp>
#include <ql/termstructures/volatility/volatilitytype.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <list>
#include <utility>
namespace QuantLib {
class PricingEngine;
//! abstract base class for calibration helpers
class CalibrationHelper {
public:
virtual ~CalibrationHelper() = default;
//! returns the error resulting from the model valuation
virtual Real calibrationError() = 0;
};
//! liquid Black76 market instrument used during calibration
class BlackCalibrationHelper : public LazyObject, public CalibrationHelper {
public:
enum CalibrationErrorType {
RelativePriceError, PriceError, ImpliedVolError};
BlackCalibrationHelper(Handle<Quote> volatility,
CalibrationErrorType calibrationErrorType = RelativePriceError,
const VolatilityType type = ShiftedLognormal,
const Real shift = 0.0)
: volatility_(std::move(volatility)), volatilityType_(type), shift_(shift),
calibrationErrorType_(calibrationErrorType) {
registerWith(volatility_);
}
void performCalculations() const override {
marketValue_ = blackPrice(volatility_->value());
}
//! returns the volatility Handle
Handle<Quote> volatility() const { return volatility_; }
//! returns the volatility type
VolatilityType volatilityType() const { return volatilityType_; }
//! returns the actual price of the instrument (from volatility)
Real marketValue() const { calculate(); return marketValue_; }
//! returns the price of the instrument according to the model
virtual Real modelValue() const = 0;
//! returns the error resulting from the model valuation
Real calibrationError() override;
virtual void addTimesTo(std::list<Time>& times) const = 0;
//! Black volatility implied by the model
Volatility impliedVolatility(Real targetValue,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol) const;
//! Black or Bachelier price given a volatility
virtual Real blackPrice(Volatility volatility) const = 0;
void setPricingEngine(const ext::shared_ptr<PricingEngine>& engine) {
engine_ = engine;
}
protected:
mutable Real marketValue_;
Handle<Quote> volatility_;
ext::shared_ptr<PricingEngine> engine_;
const VolatilityType volatilityType_;
const Real shift_;
private:
class ImpliedVolatilityHelper;
const CalibrationErrorType calibrationErrorType_;
};
}
#endif
|
