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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) 2006 Cristina Duminuco
Copyright (C) 2006 Marco Bianchetti
Copyright (C) 2007 StatPro Italia srl
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/instruments/swaption.hpp>
#include <ql/pricingengines/swaption/blackswaptionengine.hpp>
//#include <ql/math/solvers1d/brent.hpp>
#include <ql/math/solvers1d/newtonsafe.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
namespace {
class ImpliedVolHelper {
public:
ImpliedVolHelper(const Swaption&,
const Handle<YieldTermStructure>& discountCurve,
Real targetValue);
Real operator()(Volatility x) const;
Real derivative(Volatility x) const;
private:
boost::shared_ptr<PricingEngine> engine_;
Handle<YieldTermStructure> discountCurve_;
Real targetValue_;
boost::shared_ptr<SimpleQuote> vol_;
const Instrument::results* results_;
};
ImpliedVolHelper::ImpliedVolHelper(
const Swaption& swaption,
const Handle<YieldTermStructure>& discountCurve,
Real targetValue)
: discountCurve_(discountCurve), targetValue_(targetValue) {
// set an implausible value, so that calculation is forced
// at first ImpliedVolHelper::operator()(Volatility x) call
vol_ = boost::shared_ptr<SimpleQuote>(new SimpleQuote(-1.0));
Handle<Quote> h(vol_);
engine_ = boost::shared_ptr<PricingEngine>(new
BlackSwaptionEngine(discountCurve_, h));
swaption.setupArguments(engine_->getArguments());
results_ =
dynamic_cast<const Instrument::results*>(engine_->getResults());
}
Real ImpliedVolHelper::operator()(Volatility x) const {
if (x!=vol_->value()) {
vol_->setValue(x);
engine_->calculate();
}
return results_->value-targetValue_;
}
Real ImpliedVolHelper::derivative(Volatility x) const {
if (x!=vol_->value()) {
vol_->setValue(x);
engine_->calculate();
}
std::map<std::string,boost::any>::const_iterator vega_ =
results_->additionalResults.find("vega");
QL_REQUIRE(vega_ != results_->additionalResults.end(),
"vega not provided");
return boost::any_cast<Real>(vega_->second);
}
}
std::ostream& operator<<(std::ostream& out,
Settlement::Type t) {
switch (t) {
case Settlement::Physical:
return out << "Delivery";
case Settlement::Cash:
return out << "Cash";
default:
QL_FAIL("unknown Settlement::Type(" << Integer(t) << ")");
}
}
Swaption::Swaption(const boost::shared_ptr<VanillaSwap>& swap,
const boost::shared_ptr<Exercise>& exercise,
Settlement::Type delivery)
: Option(boost::shared_ptr<Payoff>(), exercise), swap_(swap),
settlementType_(delivery) {
registerWith(swap_);
}
bool Swaption::isExpired() const {
return detail::simple_event(exercise_->dates().back()).hasOccurred();
}
void Swaption::setupArguments(PricingEngine::arguments* args) const {
swap_->setupArguments(args);
Swaption::arguments* arguments =
dynamic_cast<Swaption::arguments*>(args);
QL_REQUIRE(arguments != 0, "wrong argument type");
arguments->swap = swap_;
arguments->settlementType = settlementType_;
arguments->exercise = exercise_;
}
void Swaption::arguments::validate() const {
VanillaSwap::arguments::validate();
QL_REQUIRE(swap, "vanilla swap not set");
QL_REQUIRE(exercise, "exercise not set");
}
Volatility Swaption::impliedVolatility(
Real targetValue,
const Handle<YieldTermStructure>& discountCurve,
Volatility guess,
Real accuracy,
Natural maxEvaluations,
Volatility minVol,
Volatility maxVol) const {
//calculate();
QL_REQUIRE(!isExpired(), "instrument expired");
ImpliedVolHelper f(*this, discountCurve, targetValue);
//Brent solver;
NewtonSafe solver;
solver.setMaxEvaluations(maxEvaluations);
return solver.solve(f, accuracy, guess, minVol, maxVol);
}
}
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