/usr/include/ql/experimental/volatility/zabr.hpp is in libquantlib0-dev 1.9.1-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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 | /* -*- 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
<http://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 zabr.hpp
\brief ZABR functions
Reference: Andreasen, Huge: ZABR - Expansions for the masses, Preliminary
Version, December 2011, http://ssrn.com/abstract=1980726
*/
#ifndef quantlib_zabr_hpp
#define quantlib_zabr_hpp
#include <ql/types.hpp>
#include <ql/utilities/disposable.hpp>
#include <ql/math/statistics/incrementalstatistics.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/interpolations/cubicinterpolation.hpp>
#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
#include <vector>
namespace QuantLib {
class ZabrModel {
public:
ZabrModel(const Real expiryTime, const Real forward, const Real alpha,
const Real beta, const Real nu, const Real rho, const Real gamma);
Real localVolatility(const Real f) const;
Disposable<std::vector<Real> >
localVolatility(const std::vector<Real> &f) const;
Real fdPrice(const Real strike) const;
Disposable<std::vector<Real> >
fdPrice(const std::vector<Real> &strikes) const;
Real fullFdPrice(const Real strike) const;
Real lognormalVolatility(const Real strike) const;
Disposable<std::vector<Real> >
lognormalVolatility(const std::vector<Real> &strikes) const;
Real normalVolatility(const Real strike) const;
Disposable<std::vector<Real> >
normalVolatility(const std::vector<Real> &strikes) const;
Real forward() { return forward_; }
Real expiryTime() { return expiryTime_; }
Real alpha() { return alpha_; }
Real beta() { return beta_; }
Real nu() { return nu_; }
Real rho() { return rho_; }
Real gamma() { return gamma_; }
private:
const Real expiryTime_, forward_;
const Real alpha_, beta_, nu_, rho_,
gamma_; // nu_ here is a tranformed version of the input nu !
Real x(const Real strike) const;
Disposable<std::vector<Real> > x(const std::vector<Real> &strikes) const;
Real y(const Real strike) const;
Real F(const Real y, const Real u) const;
Real lognormalVolatilityHelper(const Real strike, const Real x) const;
Real normalVolatilityHelper(const Real strike, const Real x) const;
Real localVolatilityHelper(const Real f, const Real x) const;
};
}
#endif
|