/usr/include/ql/termstructures/volatility/abcdcalibration.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
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
<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.
*/
#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 <boost/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 {
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();
}
Disposable<Array> values(const Array& x) const {
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;
// to unconstrained <- from constrained
Array inverse(const Array& x) const;
private:
mutable Array y_;
};
public:
AbcdCalibration() {};
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,
const boost::shared_ptr<EndCriteria>& endCriteria
= boost::shared_ptr<EndCriteria>(),
const boost::shared_ptr<OptimizationMethod>& method
= boost::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;
Disposable<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_;
boost::shared_ptr<ParametersTransformation> transformation_;
private:
// optimization method used for fitting
mutable EndCriteria::Type abcdEndCriteria_;
boost::shared_ptr<EndCriteria> endCriteria_;
boost::shared_ptr<OptimizationMethod> optMethod_;
mutable std::vector<Real> weights_;
bool vegaWeighted_;
//! Parameters
std::vector<Real> times_, blackVols_;
};
}
#endif
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