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
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
|
/* -*- 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/sviinterpolatedsmilesection.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/settings.hpp>
#include <utility>
namespace QuantLib {
SviInterpolatedSmileSection::SviInterpolatedSmileSection(
const Date& optionDate,
Handle<Quote> forward,
const std::vector<Rate>& strikes,
bool hasFloatingStrikes,
Handle<Quote> atmVolatility,
const std::vector<Handle<Quote> >& volHandles,
Real a,
Real b,
Real sigma,
Real rho,
Real m,
bool isAFixed,
bool isBFixed,
bool isSigmaFixed,
bool isRhoFixed,
bool isMFixed,
bool vegaWeighted,
ext::shared_ptr<EndCriteria> endCriteria,
ext::shared_ptr<OptimizationMethod> method,
const DayCounter& dc)
: SmileSection(optionDate, dc), forward_(std::move(forward)),
atmVolatility_(std::move(atmVolatility)), volHandles_(volHandles), strikes_(strikes),
actualStrikes_(strikes), hasFloatingStrikes_(hasFloatingStrikes), vols_(volHandles.size()),
a_(a), b_(b), sigma_(sigma), rho_(rho), m_(m), isAFixed_(isAFixed), isBFixed_(isBFixed),
isSigmaFixed_(isSigmaFixed), isRhoFixed_(isRhoFixed), isMFixed_(isMFixed),
vegaWeighted_(vegaWeighted), endCriteria_(std::move(endCriteria)),
method_(std::move(method)) {
LazyObject::registerWith(forward_);
LazyObject::registerWith(atmVolatility_);
for (auto& volHandle : volHandles_)
LazyObject::registerWith(volHandle);
}
SviInterpolatedSmileSection::SviInterpolatedSmileSection(
const Date& optionDate,
const Rate& forward,
const std::vector<Rate>& strikes,
bool hasFloatingStrikes,
const Volatility& atmVolatility,
const std::vector<Volatility>& volHandles,
Real a,
Real b,
Real sigma,
Real rho,
Real m,
bool isAFixed,
bool isBFixed,
bool isSigmaFixed,
bool isRhoFixed,
bool isMFixed,
bool vegaWeighted,
ext::shared_ptr<EndCriteria> endCriteria,
ext::shared_ptr<OptimizationMethod> method,
const DayCounter& dc)
: SmileSection(optionDate, dc),
forward_(Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(forward)))),
atmVolatility_(Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(atmVolatility)))),
volHandles_(volHandles.size()), strikes_(strikes), actualStrikes_(strikes),
hasFloatingStrikes_(hasFloatingStrikes), vols_(volHandles.size()), a_(a), b_(b),
sigma_(sigma), rho_(rho), m_(m), isAFixed_(isAFixed), isBFixed_(isBFixed),
isSigmaFixed_(isSigmaFixed), isRhoFixed_(isRhoFixed), isMFixed_(isMFixed),
vegaWeighted_(vegaWeighted), endCriteria_(std::move(endCriteria)),
method_(std::move(method)) {
for (Size i = 0; i < volHandles_.size(); ++i)
volHandles_[i] = Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(volHandles[i])));
}
void SviInterpolatedSmileSection::createInterpolation() const {
ext::shared_ptr<SviInterpolation> tmp(new SviInterpolation(
actualStrikes_.begin(), actualStrikes_.end(), vols_.begin(),
exerciseTime(), forwardValue_, a_, b_, sigma_, rho_, m_, isAFixed_,
isBFixed_, isSigmaFixed_, isRhoFixed_, isMFixed_, vegaWeighted_,
endCriteria_, method_));
swap(tmp, sviInterpolation_);
}
void SviInterpolatedSmileSection::performCalculations() const {
forwardValue_ = forward_->value();
vols_.clear();
actualStrikes_.clear();
// we populate the volatilities, skipping the invalid ones
for (Size i = 0; i < volHandles_.size(); ++i) {
if (volHandles_[i]->isValid()) {
if (hasFloatingStrikes_) {
actualStrikes_.push_back(forwardValue_ + strikes_[i]);
vols_.push_back(atmVolatility_->value() +
volHandles_[i]->value());
} else {
actualStrikes_.push_back(strikes_[i]);
vols_.push_back(volHandles_[i]->value());
}
}
}
// we are recreating the sabrinterpolation object unconditionnaly to
// avoid iterator invalidation
createInterpolation();
sviInterpolation_->update();
}
Real SviInterpolatedSmileSection::varianceImpl(Real strike) const {
calculate();
Real v = (*sviInterpolation_)(strike, true);
return v * v * exerciseTime();
}
}
|
