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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Frank Hövermann
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/extendedblackvariancecurve.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
namespace QuantLib {
ExtendedBlackVarianceCurve::ExtendedBlackVarianceCurve(
const Date& referenceDate,
const std::vector<Date>& dates,
const std::vector<Handle<Quote> >& volatilities,
const DayCounter& dayCounter,
bool forceMonotoneVariance)
: BlackVarianceTermStructure(referenceDate),
dayCounter_(dayCounter), maxDate_(dates.back()),
volatilities_(volatilities),
forceMonotoneVariance_(forceMonotoneVariance) {
QL_REQUIRE(dates.size() == volatilities_.size(),
"size mismatch between dates and volatilities");
QL_REQUIRE(dates[0] > referenceDate,
"cannot have dates_[0] <= referenceDate");
variances_ = std::vector<Real>(dates.size()+1);
times_ = std::vector<Time>(dates.size()+1);
times_[0] = 0.0;
for (Size j=1; j<=dates.size(); ++j) {
times_[j] = timeFromReference(dates[j-1]);
QL_REQUIRE(times_[j]>times_[j-1],
"dates must be sorted unique!");
}
setVariances();
setInterpolation<Linear>();
for (Size j=0; j<volatilities_.size(); ++j)
registerWith(volatilities_[j]);
}
void ExtendedBlackVarianceCurve::setVariances() {
variances_[0] = 0.0;
for (Size j=1; j<=volatilities_.size(); j++) {
Volatility sigma = volatilities_[j-1]->value();
variances_[j] = times_[j] * sigma * sigma;
QL_REQUIRE(variances_[j]>=variances_[j-1]
|| !forceMonotoneVariance_,
"variance must be non-decreasing");
}
}
void ExtendedBlackVarianceCurve::update() {
setVariances();
varianceCurve_.update();
notifyObservers();
}
Real ExtendedBlackVarianceCurve::blackVarianceImpl(Time t, Real) const {
if (t<=times_.back()) {
return varianceCurve_(t, true);
} else {
return varianceCurve_(times_.back(), true)*t/times_.back();
}
}
}
|
