abcdcalibration.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 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 <ql/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 override {
                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();
            }
            Array values(const Array& x) const override {
                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 override;
            // to unconstrained <- from constrained
            Array inverse(const Array& x) const override;
 
          private:
            mutable Array y_;
        };
 
      public:
        AbcdCalibration() = default;
        ;
        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,
            ext::shared_ptr<EndCriteria> endCriteria = ext::shared_ptr<EndCriteria>(),
            ext::shared_ptr<OptimizationMethod> method = ext::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;
        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_;
        ext::shared_ptr<ParametersTransformation> transformation_;
      private:
        // optimization method used for fitting
        mutable EndCriteria::Type abcdEndCriteria_;
        ext::shared_ptr<EndCriteria> endCriteria_;
        ext::shared_ptr<OptimizationMethod> optMethod_;
        mutable std::vector<Real> weights_;
        bool vegaWeighted_;
        //! Parameters
        std::vector<Real> times_, blackVols_;
    };
 
}
 
#endif