| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2007, 2009 StatPro Italia srl |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/instruments/impliedvolatility.hpp> |
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| 21 | #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> |
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| 22 | #include <ql/math/solvers1d/brent.hpp> |
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| 23 | |
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| 24 | namespace QuantLib { |
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| 25 | |
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| 26 | namespace { |
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| 27 | |
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| 28 | class PriceError { |
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| 29 | public: |
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| 30 | PriceError(const PricingEngine& engine, |
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| 31 | SimpleQuote& vol, |
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| 32 | Real targetValue); |
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| 33 | Real operator()(Volatility x) const; |
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| 34 | private: |
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| 35 | const PricingEngine& engine_; |
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| 36 | SimpleQuote& vol_; |
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| 37 | Real targetValue_; |
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| 38 | const Instrument::results* results_; |
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| 39 | }; |
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| 40 | |
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| 41 | PriceError::PriceError(const PricingEngine& engine, |
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| 42 | SimpleQuote& vol, |
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| 43 | Real targetValue) |
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| 44 | : engine_(engine), vol_(vol), targetValue_(targetValue) { |
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| 45 | results_ = |
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| 46 | dynamic_cast<const Instrument::results*>(engine_.getResults()); |
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| 47 | QL_REQUIRE(results_ != nullptr, "pricing engine does not supply needed results" ); |
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| 48 | } |
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| 49 | |
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| 50 | Real PriceError::operator()(Volatility x) const { |
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| 51 | vol_.setValue(x); |
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| 52 | engine_.calculate(); |
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| 53 | return results_->value-targetValue_; |
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| 54 | } |
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| 55 | |
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| 56 | } |
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| 57 | |
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| 58 | |
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| 59 | namespace detail { |
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| 60 | |
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| 61 | Volatility ImpliedVolatilityHelper::calculate( |
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| 62 | const Instrument& instrument, |
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| 63 | const PricingEngine& engine, |
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| 64 | SimpleQuote& volQuote, |
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| 65 | Real targetValue, |
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| 66 | Real accuracy, |
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| 67 | Natural maxEvaluations, |
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| 68 | Volatility minVol, |
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| 69 | Volatility maxVol) { |
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| 70 | |
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| 71 | instrument.setupArguments(engine.getArguments()); |
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| 72 | engine.getArguments()->validate(); |
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| 73 | |
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| 74 | PriceError f(engine, volQuote, targetValue); |
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| 75 | Brent solver; |
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| 76 | solver.setMaxEvaluations(maxEvaluations); |
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| 77 | Volatility guess = (minVol+maxVol)/2.0; |
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| 78 | Volatility result = solver.solve(f, accuracy, guess, |
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| 79 | xMin: minVol, xMax: maxVol); |
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| 80 | return result; |
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| 81 | } |
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| 82 | |
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| 83 | ext::shared_ptr<GeneralizedBlackScholesProcess> |
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| 84 | ImpliedVolatilityHelper::clone( |
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| 85 | const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, |
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| 86 | const ext::shared_ptr<SimpleQuote>& volQuote) { |
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| 87 | |
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| 88 | Handle<Quote> stateVariable = process->stateVariable(); |
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| 89 | Handle<YieldTermStructure> dividendYield = process->dividendYield(); |
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| 90 | Handle<YieldTermStructure> riskFreeRate = process->riskFreeRate(); |
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| 91 | |
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| 92 | Handle<BlackVolTermStructure> blackVol = process->blackVolatility(); |
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| 93 | Handle<BlackVolTermStructure> volatility( |
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| 94 | ext::shared_ptr<BlackVolTermStructure>( |
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| 95 | new BlackConstantVol(blackVol->referenceDate(), |
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| 96 | blackVol->calendar(), |
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| 97 | Handle<Quote>(volQuote), |
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| 98 | blackVol->dayCounter()))); |
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| 99 | |
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| 100 | return ext::make_shared<GeneralizedBlackScholesProcess>( |
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| 101 | args&: stateVariable, args&: dividendYield, |
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| 102 | args&: riskFreeRate, args&: volatility); |
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| 103 | } |
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| 104 | |
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| 105 | } |
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| 106 | |
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| 107 | } |
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| 108 | |
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