Calibration of a local volatility surface to a sparse grid of options. More...

#include <andreasenhugevolatilityinterpl.hpp>

Inheritance diagram for AndreasenHugeVolatilityInterpl:

Collaboration diagram for AndreasenHugeVolatilityInterpl:

Classes
struct	SingleStepCalibrationResult

Public Types
enum	InterpolationType { PiecewiseConstant , Linear , CubicSpline }

enum	CalibrationType { Call = Option::Call , Put = Option::Put , CallPut }

typedef std::vector< std::pair< ext::shared_ptr< VanillaOption >, ext::shared_ptr< Quote > > >	CalibrationSet

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	AndreasenHugeVolatilityInterpl (const CalibrationSet &calibrationSet, Handle< Quote > spot, Handle< YieldTermStructure > rTS, Handle< YieldTermStructure > qTS, InterpolationType interpolationType=CubicSpline, CalibrationType calibrationType=Call, Size nGridPoints=500, Real minStrike=Null< Real >(), Real maxStrike=Null< Real >(), ext::shared_ptr< OptimizationMethod > optimizationMethod=ext::shared_ptr< OptimizationMethod >(new LevenbergMarquardt), const EndCriteria &endCriteria=EndCriteria(500, 100, 1e-12, 1e-10, 1e-10))

Date	maxDate () const

Real	minStrike () const

Real	maxStrike () const

Real	fwd (Time t) const

const Handle< YieldTermStructure > &	riskFreeRate () const

ext::tuple< Real, Real, Real >	calibrationError () const

Real	optionPrice (Time t, Real strike, Option::Type optionType) const

Volatility	localVol (Time t, Real strike) const

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

void	update () override

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Protected Member Functions
void	performCalculations () const override

Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Private Types
typedef std::map< Time, ext::tuple< Real, ext::shared_ptr< Array >, ext::shared_ptr< Interpolation > > >	TimeValueCacheType

Private Member Functions
ext::shared_ptr< AndreasenHugeCostFunction >	buildCostFunction (Size iExpiry, Option::Type optionType, const Array &previousNPVs) const

Size	getExerciseTimeIdx (Time t) const

Real	getCacheValue (Real strike, const TimeValueCacheType::const_iterator &f) const

Array	getPriceSlice (Time t, Option::Type optionType) const

Array	getLocalVolSlice (Time t, Option::Type optionType) const

Private Attributes
CalibrationSet	calibrationSet_

const Handle< Quote >	spot_

const Handle< YieldTermStructure >	rTS_

const Handle< YieldTermStructure >	qTS_

const InterpolationType	interpolationType_

const CalibrationType	calibrationType_

const Size	nGridPoints_

const Real	minStrike_

const Real	maxStrike_

const ext::shared_ptr< OptimizationMethod >	optimizationMethod_

const EndCriteria	endCriteria_

std::vector< Real >	strikes_

std::vector< Date >	expiries_

std::vector< Time >	expiryTimes_

std::vector< Time >	dT_

std::vector< std::vector< Size > >	calibrationMatrix_

Real	avgError_

Real	minError_

Real	maxError_

ext::shared_ptr< FdmMesherComposite >	mesher_

Array	gridPoints_

Array	gridInFwd_

std::vector< SingleStepCalibrationResult >	calibrationResults_

TimeValueCacheType	localVolCache_

TimeValueCacheType	priceCache_

Additional Inherited Members
Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

Calibration of a local volatility surface to a sparse grid of options.

References:

Andreasen J., Huge B., 2010. Volatility Interpolation https://ssrn.com/abstract=1694972

Definition at line 54 of file andreasenhugevolatilityinterpl.hpp.

Member Typedef Documentation

◆ CalibrationSet

typedef std::vector<std::pair< ext::shared_ptr<VanillaOption>, ext::shared_ptr<Quote> > > CalibrationSet

Definition at line 63 of file andreasenhugevolatilityinterpl.hpp.

◆ TimeValueCacheType

typedef std::map<Time, ext::tuple< Real, ext::shared_ptr<Array>, ext::shared_ptr<Interpolation> > > TimeValueCacheType

private

Definition at line 103 of file andreasenhugevolatilityinterpl.hpp.

Member Enumeration Documentation

◆ InterpolationType

enum InterpolationType

Enumerator
PiecewiseConstant
Linear
CubicSpline

Definition at line 57 of file andreasenhugevolatilityinterpl.hpp.

◆ CalibrationType

enum CalibrationType

Enumerator
Call
Put
CallPut

Definition at line 58 of file andreasenhugevolatilityinterpl.hpp.

Constructor & Destructor Documentation

◆ AndreasenHugeVolatilityInterpl()

AndreasenHugeVolatilityInterpl	(	const CalibrationSet &	calibrationSet,
		Handle< Quote >	spot,
		Handle< YieldTermStructure >	rTS,
		Handle< YieldTermStructure >	qTS,
		InterpolationType	interpolationType = `CubicSpline`,
		CalibrationType	calibrationType = `Call`,
		Size	nGridPoints = `500`,
		Real	minStrike = `Null<Real>()`,
		Real	maxStrike = `Null<Real>()`,
		ext::shared_ptr< OptimizationMethod >	optimizationMethod = `ext::shared_ptr<OptimizationMethod>(new LevenbergMarquardt)`,
		const EndCriteria &	endCriteria = `EndCriteria(500, 100, 1e-12, 1e-10, 1e-10)`
	)