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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 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
<https://www.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/sviinterpolation.hpp>
#include <ql/experimental/volatility/svismilesection.hpp>
#include <utility>
namespace QuantLib {
SviSmileSection::SviSmileSection(Time timeToExpiry, Rate forward, std::vector<Real> sviParams)
: SmileSection(timeToExpiry, DayCounter()), forward_(forward), params_(std::move(sviParams)) {
init();
}
SviSmileSection::SviSmileSection(const Date& d,
Rate forward,
std::vector<Real> sviParams,
const DayCounter& dc)
: SmileSection(d, dc, Date()), forward_(forward), params_(std::move(sviParams)) {
init();
}
void SviSmileSection::init() {
QL_REQUIRE(exerciseTime() > 0.0, "svi expects a strictly positive expiry time");
QL_REQUIRE(params_.size() == 5,
"svi expects 5 parameters (a,b,sigma,rho,m) but ("
<< params_.size() << ") given");
detail::checkSviParameters(params_[0], params_[1], params_[2], params_[3], params_[4],
exerciseTime());
}
Volatility SviSmileSection::volatilityImpl(Rate strike) const {
Real k = std::log(std::max(strike, 1E-6) / forward_);
Real totalVariance = detail::sviTotalVariance(params_[0], params_[1], params_[2],
params_[3], params_[4],k);
return std::sqrt(std::max(0.0, totalVariance / exerciseTime()));
}
} // namespace QuantLib
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