kahalesmilesection.hpp File Reference

Arbitrage free smile section using a C^1 inter- and extrapolation method proposed by Kahale, see http://www.risk.net/data/Pay_per_view/risk/technical/2004/0504_tech_option2.pdf Exponential extrapolation for high strikes can be used alternatively to avoid a too slowly decreasing call price function. Note that in the leftmost interval and right from the last grid point the input smile is always replaced by the extrapolating functional forms, so if you are sure that the input smile is globally arbitrage free and you do not want to change it in these strike regions you should not use this class at all. Input smile sections with a shift are handled accordingly, normal input smile section are not possible though. More...

#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/termstructures/volatility/smilesectionutils.hpp>
#include <boost/math/distributions/normal.hpp>
#include <vector>
#include <utility>

Go to the source code of this file.

Classes
class	KahaleSmileSection
struct	KahaleSmileSection::cFunction
struct	KahaleSmileSection::aHelper
struct	KahaleSmileSection::sHelper
struct	KahaleSmileSection::sHelper1

Namespaces
namespace	QuantLib

Macros
#define	QL_KAHALE_FMAX   QL_MAX_REAL
#define	QL_KAHALE_SMAX   5.0
#define	QL_KAHALE_ACC   1E-12
#define	QL_KAHALE_EPS   QL_EPSILON

Detailed Description

Arbitrage free smile section using a C^1 inter- and extrapolation method proposed by Kahale, see http://www.risk.net/data/Pay_per_view/risk/technical/2004/0504_tech_option2.pdf Exponential extrapolation for high strikes can be used alternatively to avoid a too slowly decreasing call price function. Note that in the leftmost interval and right from the last grid point the input smile is always replaced by the extrapolating functional forms, so if you are sure that the input smile is globally arbitrage free and you do not want to change it in these strike regions you should not use this class at all. Input smile sections with a shift are handled accordingly, normal input smile section are not possible though.

Definition in file kahalesmilesection.hpp.

Macro Definition Documentation

QL_KAHALE_FMAX

#define QL_KAHALE_FMAX   QL_MAX_REAL

Definition at line 46 of file kahalesmilesection.hpp.

QL_KAHALE_SMAX

#define QL_KAHALE_SMAX   5.0

Definition at line 47 of file kahalesmilesection.hpp.

QL_KAHALE_ACC

#define QL_KAHALE_ACC   1E-12

Definition at line 48 of file kahalesmilesection.hpp.

QL_KAHALE_EPS

#define QL_KAHALE_EPS   QL_EPSILON

Definition at line 49 of file kahalesmilesection.hpp.