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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Mario Pucci
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
<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/termstructures/volatility/sabrsmilesection.hpp>
#include <ql/termstructures/volatility/sabr.hpp>
#include <ql/utilities/dataformatters.hpp>
namespace QuantLib {
SabrSmileSection::SabrSmileSection(Time timeToExpiry,
Rate forward,
const std::vector<Real>& sabrParams,
const Real shift,
VolatilityType volatilityType)
: SmileSection(timeToExpiry,DayCounter(),
volatilityType,shift),
forward_(forward), shift_(shift) {
initialise(sabrParams);
}
SabrSmileSection::SabrSmileSection(const Date& d,
Rate forward,
const std::vector<Real>& sabrParams,
const Date& referenceDate,
const DayCounter& dc,
const Real shift,
VolatilityType volatilityType)
: SmileSection(d, dc, referenceDate, volatilityType, shift),
forward_(forward), shift_(shift) {
initialise(sabrParams);
}
void SabrSmileSection::initialise(const std::vector<Real>& sabrParams) {
alpha_ = sabrParams[0];
beta_ = sabrParams[1];
nu_ = sabrParams[2];
rho_ = sabrParams[3];
QL_REQUIRE(forward_ + shift_ > 0.0,
"at the money forward rate + shift must be "
"positive: "
<< io::rate(forward_) << " with shift "
<< io::rate(shift_) << " not allowed");
validateSabrParameters(alpha_, beta_, nu_, rho_);
}
Real SabrSmileSection::varianceImpl(Rate strike) const {
strike = std::max(0.00001 - shift(),strike);
Volatility vol = unsafeShiftedSabrVolatility(
strike, forward_, exerciseTime(), alpha_, beta_, nu_, rho_, shift_, volatilityType());
return vol * vol * exerciseTime();
}
Real SabrSmileSection::volatilityImpl(Rate strike) const {
strike = std::max(0.00001 - shift(),strike);
return unsafeShiftedSabrVolatility(strike, forward_, exerciseTime(),
alpha_, beta_, nu_, rho_, shift_, volatilityType());
}
}
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