/usr/include/ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp is in libquantlib0-dev 1.4-2.
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 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Cristina Duminuco
Copyright (C) 2006 François du Vignaud
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 sabrinterpolatedsmilesection.hpp
\brief Interpolated smile section class
*/
#ifndef quantlib_sabr_interpolated_smile_section_hpp
#define quantlib_sabr_interpolated_smile_section_hpp
#include <ql/handle.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/math/interpolations/sabrinterpolation.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
namespace QuantLib {
class Quote;
class SabrInterpolatedSmileSection : public SmileSection,
public LazyObject {
public:
//! \name Constructors
//@{
//! all market data are quotes
SabrInterpolatedSmileSection(
const Date& optionDate,
const Handle<Quote>& forward,
const std::vector<Rate>& strikes,
bool hasFloatingStrikes,
const Handle<Quote>& atmVolatility,
const std::vector<Handle<Quote> >& volHandles,
Real alpha, Real beta, Real nu, Real rho,
bool isAlphaFixed = false, bool isBetaFixed = false,
bool isNuFixed = false, bool isRhoFixed = false,
bool vegaWeighted = true,
const boost::shared_ptr<EndCriteria>& endCriteria
= boost::shared_ptr<EndCriteria>(),
const boost::shared_ptr<OptimizationMethod>& method
= boost::shared_ptr<OptimizationMethod>(),
const DayCounter& dc = Actual365Fixed()
);
//! no quotes
SabrInterpolatedSmileSection(
const Date& optionDate,
const Rate& forward,
const std::vector<Rate>& strikes,
bool hasFloatingStrikes,
const Volatility& atmVolatility,
const std::vector<Volatility>& vols,
Real alpha, Real beta, Real nu, Real rho,
bool isAlphaFixed = false, bool isBetaFixed = false,
bool isNuFixed = false, bool isRhoFixed = false,
bool vegaWeighted = true,
const boost::shared_ptr<EndCriteria>& endCriteria
= boost::shared_ptr<EndCriteria>(),
const boost::shared_ptr<OptimizationMethod>& method
= boost::shared_ptr<OptimizationMethod>(),
const DayCounter& dc = Actual365Fixed()
);
//@}
//! \name LazyObject interface
//@{
virtual void performCalculations() const;
virtual void update();
//@}
//! \name SmileSection interface
//@{
Real minStrike () const;
Real maxStrike () const;
Real atmLevel() const;
//@}
Real varianceImpl(Rate strike) const;
Volatility volatilityImpl(Rate strike) const;
//! \name Inspectors
//@{
Real alpha() const;
Real beta() const;
Real nu() const;
Real rho() const;
Real rmsError() const;
Real maxError() const;
EndCriteria::Type endCriteria() const;
//@}
protected:
//! Creates the mutable SABRInterpolation
void createInterpolation() const;
mutable boost::shared_ptr<SABRInterpolation> sabrInterpolation_;
//! 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_;
//! Sabr parameters
Real alpha_, beta_, nu_, rho_;
//! Sabr interpolation settings
bool isAlphaFixed_, isBetaFixed_, isNuFixed_, isRhoFixed_;
bool vegaWeighted_;
const boost::shared_ptr<EndCriteria> endCriteria_;
const boost::shared_ptr<OptimizationMethod> method_;
mutable Date evaluationDate_;
};
inline void SabrInterpolatedSmileSection::update() {
LazyObject::update();
SmileSection::update();
}
inline Real SabrInterpolatedSmileSection::volatilityImpl(Rate strike) const {
calculate();
return (*sabrInterpolation_)(strike, true);
}
inline Real SabrInterpolatedSmileSection::alpha() const {
calculate();
return sabrInterpolation_->alpha();
}
inline Real SabrInterpolatedSmileSection::beta() const {
calculate();
return sabrInterpolation_->beta();
}
inline Real SabrInterpolatedSmileSection::nu() const {
calculate();
return sabrInterpolation_->nu();
}
inline Real SabrInterpolatedSmileSection::rho() const {
calculate();
return sabrInterpolation_->rho();
}
inline Real SabrInterpolatedSmileSection::rmsError() const {
calculate();
return sabrInterpolation_->rmsError();
}
inline Real SabrInterpolatedSmileSection::maxError() const {
calculate();
return sabrInterpolation_->maxError();
}
inline EndCriteria::Type SabrInterpolatedSmileSection::endCriteria() const {
calculate();
return sabrInterpolation_->endCriteria();
}
inline Real SabrInterpolatedSmileSection::minStrike() const {
calculate();
return actualStrikes_.front();
}
inline Real SabrInterpolatedSmileSection::maxStrike() const {
calculate();
return actualStrikes_.back();
}
inline Real SabrInterpolatedSmileSection::atmLevel() const {
calculate();
return forwardValue_;
}
}
#endif
|