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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Cristina Duminuco
Copyright (C) 2006 François du Vignaud
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/quotes/simplequote.hpp>
#include <ql/settings.hpp>
#include <ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp>
#include <utility>
namespace QuantLib {
SabrInterpolatedSmileSection::SabrInterpolatedSmileSection(
const Date& optionDate,
Handle<Quote> forward,
const std::vector<Rate>& strikes,
bool hasFloatingStrikes,
Handle<Quote> atmVolatility,
const std::vector<Handle<Quote> >& volHandles,
Real alpha,
Real beta,
Real nu,
Real rho,
bool isAlphaFixed,
bool isBetaFixed,
bool isNuFixed,
bool isRhoFixed,
bool vegaWeighted,
ext::shared_ptr<EndCriteria> endCriteria,
ext::shared_ptr<OptimizationMethod> method,
const DayCounter& dc,
const Real shift)
: SmileSection(optionDate, dc, Date(), ShiftedLognormal, shift), forward_(std::move(forward)),
atmVolatility_(std::move(atmVolatility)), volHandles_(volHandles), strikes_(strikes),
actualStrikes_(strikes), hasFloatingStrikes_(hasFloatingStrikes), vols_(volHandles.size()),
alpha_(alpha), beta_(beta), nu_(nu), rho_(rho), isAlphaFixed_(isAlphaFixed),
isBetaFixed_(isBetaFixed), isNuFixed_(isNuFixed), isRhoFixed_(isRhoFixed),
vegaWeighted_(vegaWeighted), endCriteria_(std::move(endCriteria)), method_(std::move(method)),
evaluationDate_(Settings::instance().evaluationDate()) {
LazyObject::registerWith(forward_);
LazyObject::registerWith(atmVolatility_);
for (auto& volHandle : volHandles_)
LazyObject::registerWith(volHandle);
}
SabrInterpolatedSmileSection::SabrInterpolatedSmileSection(
const Date& optionDate,
const Rate& forward,
const std::vector<Rate>& strikes,
bool hasFloatingStrikes,
const Volatility& atmVolatility,
const std::vector<Volatility>& volHandles,
Real alpha,
Real beta,
Real nu,
Real rho,
bool isAlphaFixed,
bool isBetaFixed,
bool isNuFixed,
bool isRhoFixed,
bool vegaWeighted,
ext::shared_ptr<EndCriteria> endCriteria,
ext::shared_ptr<OptimizationMethod> method,
const DayCounter& dc,
const Real shift)
: SmileSection(optionDate, dc, Date(), ShiftedLognormal, shift),
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()), alpha_(alpha), beta_(beta),
nu_(nu), rho_(rho), isAlphaFixed_(isAlphaFixed), isBetaFixed_(isBetaFixed),
isNuFixed_(isNuFixed), isRhoFixed_(isRhoFixed), vegaWeighted_(vegaWeighted),
endCriteria_(std::move(endCriteria)), method_(std::move(method)),
evaluationDate_(Settings::instance().evaluationDate()) {
for (Size i = 0; i < volHandles_.size(); ++i)
volHandles_[i] = Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(volHandles[i])));
}
void SabrInterpolatedSmileSection::createInterpolation() const {
ext::shared_ptr<SABRInterpolation> tmp(new SABRInterpolation(
actualStrikes_.begin(), actualStrikes_.end(), vols_.begin(),
exerciseTime(), forwardValue_,
alpha_, beta_, nu_, rho_,
isAlphaFixed_, isBetaFixed_, isNuFixed_, isRhoFixed_, vegaWeighted_,
endCriteria_, method_, 0.0020, false, 50, shift()));
swap(tmp, sabrInterpolation_);
}
void SabrInterpolatedSmileSection::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();
sabrInterpolation_->update();
}
Real SabrInterpolatedSmileSection::varianceImpl(Real strike) const {
calculate();
Real v = (*sabrInterpolation_)(strike, true);
return v*v*exerciseTime();
}
}
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