sviinterpolatedsmilesection.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2014 Peter Caspers
 
 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.
*/
 
/*! \file sviinterpolatedsmilesection.hpp
    \brief svi interpolating smile section
*/
 
#ifndef quantlib_svi_interpolated_smile_section_hpp
#define quantlib_svi_interpolated_smile_section_hpp
 
#include <ql/handle.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/experimental/volatility/sviinterpolation.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
 
namespace QuantLib {
 
class Quote;
class SviInterpolatedSmileSection : public SmileSection, public LazyObject {
  public:
    //! \name Constructors
    //@{
    //! all market data are quotes
    SviInterpolatedSmileSection(
        const Date& optionDate,
        Handle<Quote> forward,
        const std::vector<Rate>& strikes,
        bool hasFloatingStrikes,
        Handle<Quote> atmVolatility,
        const std::vector<Handle<Quote> >& volHandles,
        Real a,
        Real b,
        Real sigma,
        Real rho,
        Real m,
        bool aIsFixed,
        bool bIsFixed,
        bool sigmaIsFixed,
        bool rhoIsFixed,
        bool mIsFixed,
        bool vegaWeighted = true,
        ext::shared_ptr<EndCriteria> endCriteria = ext::shared_ptr<EndCriteria>(),
        ext::shared_ptr<OptimizationMethod> method = ext::shared_ptr<OptimizationMethod>(),
        const DayCounter& dc = Actual365Fixed());
    //! no quotes
    SviInterpolatedSmileSection(
        const Date& optionDate,
        const Rate& forward,
        const std::vector<Rate>& strikes,
        bool hasFloatingStrikes,
        const Volatility& atmVolatility,
        const std::vector<Volatility>& vols,
        Real a,
        Real b,
        Real sigma,
        Real rho,
        Real m,
        bool isAFixed,
        bool isBFixed,
        bool isSigmaFixed,
        bool isRhoFixed,
        bool isMFixed,
        bool vegaWeighted = true,
        ext::shared_ptr<EndCriteria> endCriteria = ext::shared_ptr<EndCriteria>(),
        ext::shared_ptr<OptimizationMethod> method = ext::shared_ptr<OptimizationMethod>(),
        const DayCounter& dc = Actual365Fixed());
    //@}
    //! \name LazyObject interface
    //@{
    void performCalculations() const override;
    void update() override;
    //@}
    //! \name SmileSection interface
    //@{
    Real minStrike() const override;
    Real maxStrike() const override;
    Real atmLevel() const override;
    //@}
    Real varianceImpl(Rate strike) const override;
    Volatility volatilityImpl(Rate strike) const override;
    //! \name Inspectors
    //@{
    Real a() const;
    Real b() const;
    Real sigma() const;
    Real rho() const;
    Real m() const;
    Real rmsError() const;
    Real maxError() const;
    EndCriteria::Type endCriteria() const;
    //@}
 
  protected:
    //! Creates the mutable SviInterpolation
    void createInterpolation() const;
    mutable ext::shared_ptr<SviInterpolation> sviInterpolation_;
 
    //! Market data
    const Handle<Quote> forward_;
    const Handle<Quote> atmVolatility_;
    std::vector<Handle<Quote> > volHandles_;
    mutable std::vector<Rate> strikes_;
    //! Only strikes corresponding to valid market data
    mutable std::vector<Rate> actualStrikes_;
    bool hasFloatingStrikes_;
 
    mutable Real forwardValue_;
    mutable std::vector<Volatility> vols_;
    //! Svi parameters
    Real a_, b_, sigma_, rho_, m_;
    //! Svi interpolation settings
    bool isAFixed_, isBFixed_, isSigmaFixed_, isRhoFixed_, isMFixed_;
    bool vegaWeighted_;
    const ext::shared_ptr<EndCriteria> endCriteria_;
    const ext::shared_ptr<OptimizationMethod> method_;
};
 
inline void SviInterpolatedSmileSection::update() {
    LazyObject::update();
    SmileSection::update();
}
 
inline Real SviInterpolatedSmileSection::volatilityImpl(Rate strike) const {
    calculate();
    return (*sviInterpolation_)(strike, true);
}
 
inline Real SviInterpolatedSmileSection::a() const {
    calculate();
    return sviInterpolation_->a();
}
 
inline Real SviInterpolatedSmileSection::b() const {
    calculate();
    return sviInterpolation_->b();
}
 
inline Real SviInterpolatedSmileSection::sigma() const {
    calculate();
    return sviInterpolation_->sigma();
}
 
inline Real SviInterpolatedSmileSection::rho() const {
    calculate();
    return sviInterpolation_->rho();
}
 
inline Real SviInterpolatedSmileSection::m() const {
    calculate();
    return sviInterpolation_->m();
}
 
inline Real SviInterpolatedSmileSection::rmsError() const {
    calculate();
    return sviInterpolation_->rmsError();
}
 
inline Real SviInterpolatedSmileSection::maxError() const {
    calculate();
    return sviInterpolation_->maxError();
}
 
inline EndCriteria::Type SviInterpolatedSmileSection::endCriteria() const {
    calculate();
    return sviInterpolation_->endCriteria();
}
 
inline Real SviInterpolatedSmileSection::minStrike() const {
    calculate();
    return actualStrikes_.front();
}
 
inline Real SviInterpolatedSmileSection::maxStrike() const {
    calculate();
    return actualStrikes_.back();
}
 
inline Real SviInterpolatedSmileSection::atmLevel() const {
    calculate();
    return forwardValue_;
}
}
 
#endif