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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2015 Johannes Göttker-Schnetmann
Copyright (C) 2015 Klaus Spanderen
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/math/interpolations/linearinterpolation.hpp>
#include <ql/termstructures/volatility/equityfx/fixedlocalvolsurface.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/time/daycounters/yearfractiontodate.hpp>
#include <utility>
namespace QuantLib {
FixedLocalVolSurface::FixedLocalVolSurface(const Date& referenceDate,
const std::vector<Date>& dates,
const std::vector<Real>& strikes,
ext::shared_ptr<Matrix> localVolMatrix,
const DayCounter& dayCounter,
Extrapolation lowerExtrapolation,
Extrapolation upperExtrapolation)
: LocalVolTermStructure(referenceDate, NullCalendar(), Following, dayCounter),
maxDate_(dates.back()), localVolMatrix_(std::move(localVolMatrix)),
strikes_(dates.size(), ext::make_shared<std::vector<Real> >(strikes)),
localVolInterpol_(dates.size()), lowerExtrapolation_(lowerExtrapolation),
upperExtrapolation_(upperExtrapolation) {
QL_REQUIRE(dates[0]>=referenceDate,
"cannot have dates[0] < referenceDate");
times_ = std::vector<Time>(dates.size());
for (Size j=0; j<times_.size(); j++)
times_[j] = timeFromReference(dates[j]);
checkSurface();
setInterpolation<Linear>();
}
FixedLocalVolSurface::FixedLocalVolSurface(const Date& referenceDate,
const std::vector<Time>& times,
const std::vector<Real>& strikes,
ext::shared_ptr<Matrix> localVolMatrix,
const DayCounter& dayCounter,
Extrapolation lowerExtrapolation,
Extrapolation upperExtrapolation)
: LocalVolTermStructure(referenceDate, NullCalendar(), Following, dayCounter),
maxDate_(yearFractionToDate(dayCounter, referenceDate, times.back())), times_(times),
localVolMatrix_(std::move(localVolMatrix)),
strikes_(times.size(), ext::make_shared<std::vector<Real> >(strikes)),
localVolInterpol_(times.size()), lowerExtrapolation_(lowerExtrapolation),
upperExtrapolation_(upperExtrapolation) {
QL_REQUIRE(times_[0]>=0, "cannot have times[0] < 0");
checkSurface();
setInterpolation<Linear>();
}
FixedLocalVolSurface::FixedLocalVolSurface(
const Date& referenceDate,
const std::vector<Time>& times,
const std::vector<ext::shared_ptr<std::vector<Real> > >& strikes,
ext::shared_ptr<Matrix> localVolMatrix,
const DayCounter& dayCounter,
Extrapolation lowerExtrapolation,
Extrapolation upperExtrapolation)
: LocalVolTermStructure(referenceDate, NullCalendar(), Following, dayCounter),
maxDate_(yearFractionToDate(dayCounter, referenceDate, times.back())), times_(times),
localVolMatrix_(std::move(localVolMatrix)), strikes_(strikes),
localVolInterpol_(times.size()), lowerExtrapolation_(lowerExtrapolation),
upperExtrapolation_(upperExtrapolation) {
QL_REQUIRE(times_[0]>=0, "cannot have times[0] < 0");
QL_REQUIRE(times.size() == strikes.size(),
"need strikes for every time step");
checkSurface();
setInterpolation<Linear>();
}
void FixedLocalVolSurface::checkSurface() {
QL_REQUIRE(times_.size()==localVolMatrix_->columns(),
"mismatch between date vector and vol matrix colums");
for (const auto& strike : strikes_) {
QL_REQUIRE(strike->size() == localVolMatrix_->rows(),
"mismatch between money-strike vector and "
"vol matrix rows");
}
for (Size j=1; j<times_.size(); j++) {
QL_REQUIRE(times_[j]>times_[j-1],
"dates must be sorted unique!");
}
for (const auto& strike : strikes_)
for (Size j = 1; j < strike->size(); j++) {
QL_REQUIRE((*strike)[j] >= (*strike)[j - 1], "strikes must be sorted");
}
}
Date FixedLocalVolSurface::maxDate() const {
return maxDate_;
}
Time FixedLocalVolSurface::maxTime() const {
return times_.back();
}
Real FixedLocalVolSurface::minStrike() const {
return strikes_.back()->front();
}
Real FixedLocalVolSurface::maxStrike() const {
return strikes_.back()->back();
}
Volatility FixedLocalVolSurface::localVolImpl(Time t, Real strike) const {
t = std::min(times_.back(), std::max(t, times_.front()));
const Size idx = std::distance(times_.begin(),
std::lower_bound(times_.begin(), times_.end(), t));
if (close_enough(t, times_[idx])) {
if (strikes_[idx]->front() < strikes_[idx]->back())
return localVolInterpol_[idx](strike, true);
else
return (*localVolMatrix_)[localVolMatrix_->rows()/2][idx];
}
else {
Real earlierStrike = strike, laterStrike = strike;
if (lowerExtrapolation_ == ConstantExtrapolation) {
if (strike < strikes_[idx-1]->front())
earlierStrike = strikes_[idx-1]->front();
if (strike < strikes_[idx]->front())
laterStrike = strikes_[idx]->front();
}
if (upperExtrapolation_ == ConstantExtrapolation) {
if (strike > strikes_[idx-1]->back())
earlierStrike = strikes_[idx-1]->back();
if (strike > strikes_[idx]->back())
laterStrike = strikes_[idx]->back();
}
const Real earlyVol =
(strikes_[idx-1]->front() < strikes_[idx-1]->back())
? localVolInterpol_[idx-1](earlierStrike, true)
: (*localVolMatrix_)[localVolMatrix_->rows()/2][idx-1];
const Real laterVol = localVolInterpol_[idx](laterStrike, true);
return earlyVol
+ (laterVol-earlyVol)/(times_[idx]-times_[idx-1])
*(t-times_[idx-1]);
}
}
}
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