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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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.
*/
/*! \file parameterizedlocalvolsurface.cpp
*/
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/termstructures/volatility/equityfx/fixedlocalvolsurface.hpp>
#include <ql/termstructures/volatility/equityfx/gridmodellocalvolsurface.hpp>
#include <functional>
#include <algorithm>
namespace QuantLib {
GridModelLocalVolSurface::GridModelLocalVolSurface(
const Date& referenceDate,
const std::vector<Date>& dates,
const std::vector<ext::shared_ptr<std::vector<Real> > >& strikes,
const DayCounter& dayCounter,
Extrapolation lowerExtrapolation,
Extrapolation upperExtrapolation)
: LocalVolTermStructure(
referenceDate, NullCalendar(), Following, dayCounter),
CalibratedModel(dates.size()*strikes.front()->size()),
referenceDate_(referenceDate),
times_(dates.size()),
strikes_(strikes),
dayCounter_(dayCounter),
lowerExtrapolation_(lowerExtrapolation),
upperExtrapolation_(upperExtrapolation) {
for (Size i=1; i < strikes_.size(); ++i) {
QL_REQUIRE(strikes_[i]->size() == strikes_.front()->size(),
"strike vectors must have the same dimension");
}
std::fill(arguments_.begin(), arguments_.end(),
ConstantParameter(1.0, PositiveConstraint()));
for (Size i=0; i < dates.size(); ++i) {
times_[i] = dayCounter.yearFraction(referenceDate_, dates[i]);
}
GridModelLocalVolSurface::generateArguments();
}
void GridModelLocalVolSurface::update() {
LocalVolTermStructure::update();
CalibratedModel::update();
}
Date GridModelLocalVolSurface::maxDate() const {
return localVol_->maxDate();
}
Time GridModelLocalVolSurface::maxTime() const {
return localVol_->maxTime();
}
Real GridModelLocalVolSurface::minStrike() const {
return localVol_->minStrike();
}
Real GridModelLocalVolSurface::maxStrike() const {
return localVol_->maxStrike();
}
Volatility GridModelLocalVolSurface::localVolImpl(Time t, Real strike)
const {
return localVol_->localVol(t, strike, true);
}
void GridModelLocalVolSurface::generateArguments() {
const ext::shared_ptr<Matrix> localVolMatrix(
new Matrix(strikes_.front()->size(), times_.size()));
std::transform(arguments_.begin(), arguments_.end(),
localVolMatrix->begin(),
[](const Parameter& p) { return p(0.0); });
localVol_ = ext::make_shared<FixedLocalVolSurface>(
referenceDate_,
times_,
strikes_,
localVolMatrix,
dayCounter_,
lowerExtrapolation_,
upperExtrapolation_);
}
}
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