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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007, 2015 Ferdinando Ametrano
Copyright (C) 2006 Cristina Duminuco
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2015 Paolo Mazzocchi
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.
*/
#ifndef quantlib_abcdcalibration_hpp
#define quantlib_abcdcalibration_hpp
#include <ql/math/optimization/endcriteria.hpp>
#include <ql/math/optimization/projectedcostfunction.hpp>
#include <ql/math/array.hpp>
#include <ql/shared_ptr.hpp>
#include <vector>
namespace QuantLib {
class Quote;
class OptimizationMethod;
class ParametersTransformation;
class AbcdCalibration {
private:
class AbcdError : public CostFunction {
public:
AbcdError(AbcdCalibration* abcd) : abcd_(abcd) {}
Real value(const Array& x) const override {
const Array y = abcd_->transformation_->direct(x);
abcd_->a_ = y[0];
abcd_->b_ = y[1];
abcd_->c_ = y[2];
abcd_->d_ = y[3];
return abcd_->error();
}
Array values(const Array& x) const override {
const Array y = abcd_->transformation_->direct(x);
abcd_->a_ = y[0];
abcd_->b_ = y[1];
abcd_->c_ = y[2];
abcd_->d_ = y[3];
return abcd_->errors();
}
private:
AbcdCalibration* abcd_;
};
class AbcdParametersTransformation : public ParametersTransformation {
public:
AbcdParametersTransformation() : y_(Array(4)) {}
// to constrained <- from unconstrained
Array direct(const Array& x) const override;
// to unconstrained <- from constrained
Array inverse(const Array& x) const override;
private:
mutable Array y_;
};
public:
AbcdCalibration() = default;
;
AbcdCalibration(
const std::vector<Real>& t,
const std::vector<Real>& blackVols,
Real aGuess = -0.06,
Real bGuess = 0.17,
Real cGuess = 0.54,
Real dGuess = 0.17,
bool aIsFixed = false,
bool bIsFixed = false,
bool cIsFixed = false,
bool dIsFixed = false,
bool vegaWeighted = false,
ext::shared_ptr<EndCriteria> endCriteria = ext::shared_ptr<EndCriteria>(),
ext::shared_ptr<OptimizationMethod> method = ext::shared_ptr<OptimizationMethod>());
//! adjustment factors needed to match Black vols
std::vector<Real> k(const std::vector<Real>& t,
const std::vector<Real>& blackVols) const;
void compute();
//calibration results
Real value(Real x) const;
Real error() const;
Real maxError() const;
Array errors() const;
EndCriteria::Type endCriteria() const;
Real a() const { return a_; }
Real b() const { return b_; }
Real c() const { return c_; }
Real d() const { return d_; }
bool aIsFixed_, bIsFixed_, cIsFixed_, dIsFixed_;
Real a_, b_, c_, d_;
ext::shared_ptr<ParametersTransformation> transformation_;
private:
// optimization method used for fitting
mutable EndCriteria::Type abcdEndCriteria_;
ext::shared_ptr<EndCriteria> endCriteria_;
ext::shared_ptr<OptimizationMethod> optMethod_;
mutable std::vector<Real> weights_;
bool vegaWeighted_;
//! Parameters
std::vector<Real> times_, blackVols_;
};
}
#endif
|
