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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.
*/
/*! \file sviinterpolatedsmilesection.hpp
\brief svi interpolating smile section
*/
#ifndef quantlib_svi_interpolated_smile_section_hpp
#define quantlib_svi_interpolated_smile_section_hpp
#include <ql/handle.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/experimental/volatility/sviinterpolation.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
namespace QuantLib {
class Quote;
class SviInterpolatedSmileSection : public SmileSection, public LazyObject {
public:
//! \name Constructors
//@{
//! all market data are quotes
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 aIsFixed,
bool bIsFixed,
bool sigmaIsFixed,
bool rhoIsFixed,
bool mIsFixed,
bool vegaWeighted = true,
ext::shared_ptr<EndCriteria> endCriteria = ext::shared_ptr<EndCriteria>(),
ext::shared_ptr<OptimizationMethod> method = ext::shared_ptr<OptimizationMethod>(),
const DayCounter& dc = Actual365Fixed());
//! no quotes
SviInterpolatedSmileSection(
const Date& optionDate,
const Rate& forward,
const std::vector<Rate>& strikes,
bool hasFloatingStrikes,
const Volatility& atmVolatility,
const std::vector<Volatility>& vols,
Real a,
Real b,
Real sigma,
Real rho,
Real m,
bool isAFixed,
bool isBFixed,
bool isSigmaFixed,
bool isRhoFixed,
bool isMFixed,
bool vegaWeighted = true,
ext::shared_ptr<EndCriteria> endCriteria = ext::shared_ptr<EndCriteria>(),
ext::shared_ptr<OptimizationMethod> method = ext::shared_ptr<OptimizationMethod>(),
const DayCounter& dc = Actual365Fixed());
//@}
//! \name LazyObject interface
//@{
void performCalculations() const override;
void update() override;
//@}
//! \name SmileSection interface
//@{
Real minStrike() const override;
Real maxStrike() const override;
Real atmLevel() const override;
//@}
Real varianceImpl(Rate strike) const override;
Volatility volatilityImpl(Rate strike) const override;
//! \name Inspectors
//@{
Real a() const;
Real b() const;
Real sigma() const;
Real rho() const;
Real m() const;
Real rmsError() const;
Real maxError() const;
EndCriteria::Type endCriteria() const;
//@}
protected:
//! Creates the mutable SviInterpolation
void createInterpolation() const;
mutable ext::shared_ptr<SviInterpolation> sviInterpolation_;
//! Market data
const Handle<Quote> forward_;
const Handle<Quote> atmVolatility_;
std::vector<Handle<Quote> > volHandles_;
mutable std::vector<Rate> strikes_;
//! Only strikes corresponding to valid market data
mutable std::vector<Rate> actualStrikes_;
bool hasFloatingStrikes_;
mutable Real forwardValue_;
mutable std::vector<Volatility> vols_;
//! Svi parameters
Real a_, b_, sigma_, rho_, m_;
//! Svi interpolation settings
bool isAFixed_, isBFixed_, isSigmaFixed_, isRhoFixed_, isMFixed_;
bool vegaWeighted_;
const ext::shared_ptr<EndCriteria> endCriteria_;
const ext::shared_ptr<OptimizationMethod> method_;
};
inline void SviInterpolatedSmileSection::update() {
LazyObject::update();
SmileSection::update();
}
inline Real SviInterpolatedSmileSection::volatilityImpl(Rate strike) const {
calculate();
return (*sviInterpolation_)(strike, true);
}
inline Real SviInterpolatedSmileSection::a() const {
calculate();
return sviInterpolation_->a();
}
inline Real SviInterpolatedSmileSection::b() const {
calculate();
return sviInterpolation_->b();
}
inline Real SviInterpolatedSmileSection::sigma() const {
calculate();
return sviInterpolation_->sigma();
}
inline Real SviInterpolatedSmileSection::rho() const {
calculate();
return sviInterpolation_->rho();
}
inline Real SviInterpolatedSmileSection::m() const {
calculate();
return sviInterpolation_->m();
}
inline Real SviInterpolatedSmileSection::rmsError() const {
calculate();
return sviInterpolation_->rmsError();
}
inline Real SviInterpolatedSmileSection::maxError() const {
calculate();
return sviInterpolation_->maxError();
}
inline EndCriteria::Type SviInterpolatedSmileSection::endCriteria() const {
calculate();
return sviInterpolation_->endCriteria();
}
inline Real SviInterpolatedSmileSection::minStrike() const {
calculate();
return actualStrikes_.front();
}
inline Real SviInterpolatedSmileSection::maxStrike() const {
calculate();
return actualStrikes_.back();
}
inline Real SviInterpolatedSmileSection::atmLevel() const {
calculate();
return forwardValue_;
}
}
#endif
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