smilesection.cpp

来自「有很多的函数库」· C++ 代码 · 共 91 行

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2006 Mario Pucci

 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
 <[e-mail]>. 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.
*/

#include <ql/termstructures/volatilities/smilesection.hpp>
#include <ql/termstructures/volatilities/sabr.hpp>
#include <ql/settings.hpp>
#include <ql/utilities/dataformatters.hpp>

namespace QuantLib {

    SmileSection::SmileSection(const Date& d,
                                                 const DayCounter& dc,
                                                 const Date& referenceDate)
    : exerciseDate_(d), dc_(dc) {
        Date refDate = referenceDate!=Date() ? referenceDate :
                       Settings::instance().evaluationDate();
        QL_REQUIRE(d>=refDate,
                   "expiry date (" << d <<
                   ") must be greater than reference date (" <<
                   refDate << ")");
        exerciseTime_ = dc_.yearFraction(refDate, d);
    }

    SmileSection::SmileSection(Time exerciseTime,
                                                 const DayCounter& dc)
    : dc_(dc), exerciseTime_(exerciseTime) {
        QL_REQUIRE(exerciseTime_>=0.0,
                   "expiry time must be positive: " <<
                   exerciseTime_ << " not allowed");
    }

    SabrSmileSection::SabrSmileSection(const Time timeToExpiry,
                                       Rate forward,
                                       const std::vector<Real>& sabrParams)
    : SmileSection(timeToExpiry), forward_(forward) {

        alpha_ = sabrParams[0];
        beta_ = sabrParams[1];
        nu_ = sabrParams[2];
        rho_ = sabrParams[3];

        QL_REQUIRE(forward_>0.0, "forward must be positive: "
                                << io::rate(forward_) << " not allowed");
        validateSabrParameters(alpha_, beta_, nu_, rho_);
    }

    SabrSmileSection::SabrSmileSection(const Date& d,
                                       Rate forward,
                                       const std::vector<Real>& sabrParams,
                                       const DayCounter& dc)
    : SmileSection(d, dc), forward_(forward) {

        alpha_ = sabrParams[0];
        beta_ = sabrParams[1];
        nu_ = sabrParams[2];
        rho_ = sabrParams[3];

        QL_REQUIRE(forward_>0.0, "forward must be positive: "
                                << io::rate(forward_) << " not allowed");
        validateSabrParameters(alpha_, beta_, nu_, rho_);
    }

     Real SabrSmileSection::variance(Rate strike) const {
        Volatility vol = unsafeSabrVolatility(strike, forward_,
            exerciseTime_, alpha_, beta_, nu_, rho_);
        return vol*vol*exerciseTime_;
     }

     Real SabrSmileSection::volatility(Rate strike) const {
        return unsafeSabrVolatility(strike, forward_,
            exerciseTime_, alpha_, beta_, nu_, rho_);
     }

}