/usr/include/ql/experimental/volatility/noarbsabrinterpolatedsmilesection.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
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 noarbsabrinterpolatedsmilesection.hpp
\brief noarb sabr interpolating smile section
*/
#ifndef quantlib_noarbsabr_interpolated_smile_section_hpp
#define quantlib_noarbsabr_interpolated_smile_section_hpp
#include <ql/handle.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/experimental/volatility/noarbsabrinterpolation.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
namespace QuantLib {
class Quote;
class NoArbSabrInterpolatedSmileSection : public SmileSection,
public LazyObject {
public:
//! \name Constructors
//@{
//! all market data are quotes
NoArbSabrInterpolatedSmileSection(
const Date& optionDate,
const Handle<Quote>& forward,
const std::vector<Rate>& strikes,
bool hasFloatingStrikes,
const Handle<Quote>& atmVolatility,
const std::vector<Handle<Quote> >& volHandles,
Real alpha, Real beta, Real nu, Real rho,
bool isAlphaFixed = false, bool isBetaFixed = false,
bool isNuFixed = false, bool isRhoFixed = false,
bool vegaWeighted = true,
const boost::shared_ptr<EndCriteria>& endCriteria
= boost::shared_ptr<EndCriteria>(),
const boost::shared_ptr<OptimizationMethod>& method
= boost::shared_ptr<OptimizationMethod>(),
const DayCounter& dc = Actual365Fixed()
);
//! no quotes
NoArbSabrInterpolatedSmileSection(
const Date& optionDate,
const Rate& forward,
const std::vector<Rate>& strikes,
bool hasFloatingStrikes,
const Volatility& atmVolatility,
const std::vector<Volatility>& vols,
Real alpha, Real beta, Real nu, Real rho,
bool isAlphaFixed = false, bool isBetaFixed = false,
bool isNuFixed = false, bool isRhoFixed = false,
bool vegaWeighted = true,
const boost::shared_ptr<EndCriteria>& endCriteria
= boost::shared_ptr<EndCriteria>(),
const boost::shared_ptr<OptimizationMethod>& method
= boost::shared_ptr<OptimizationMethod>(),
const DayCounter& dc = Actual365Fixed()
);
//@}
//! \name LazyObject interface
//@{
virtual void performCalculations() const;
virtual void update();
//@}
//! \name SmileSection interface
//@{
Real minStrike () const;
Real maxStrike () const;
Real atmLevel() const;
//@}
Real varianceImpl(Rate strike) const;
Volatility volatilityImpl(Rate strike) const;
//! \name Inspectors
//@{
Real alpha() const;
Real beta() const;
Real nu() const;
Real rho() const;
Real rmsError() const;
Real maxError() const;
EndCriteria::Type endCriteria() const;
//@}
protected:
//! Creates the mutable SABRInterpolation
void createInterpolation() const;
mutable boost::shared_ptr<NoArbSabrInterpolation> noArbSabrInterpolation_;
//! 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_;
//! Sabr parameters
Real alpha_, beta_, nu_, rho_;
//! Sabr interpolation settings
bool isAlphaFixed_, isBetaFixed_, isNuFixed_, isRhoFixed_;
bool vegaWeighted_;
const boost::shared_ptr<EndCriteria> endCriteria_;
const boost::shared_ptr<OptimizationMethod> method_;
};
inline void NoArbSabrInterpolatedSmileSection::update() {
LazyObject::update();
SmileSection::update();
}
inline Real NoArbSabrInterpolatedSmileSection::volatilityImpl(Rate strike) const {
calculate();
return (*noArbSabrInterpolation_)(strike, true);
}
inline Real NoArbSabrInterpolatedSmileSection::alpha() const {
calculate();
return noArbSabrInterpolation_->alpha();
}
inline Real NoArbSabrInterpolatedSmileSection::beta() const {
calculate();
return noArbSabrInterpolation_->beta();
}
inline Real NoArbSabrInterpolatedSmileSection::nu() const {
calculate();
return noArbSabrInterpolation_->nu();
}
inline Real NoArbSabrInterpolatedSmileSection::rho() const {
calculate();
return noArbSabrInterpolation_->rho();
}
inline Real NoArbSabrInterpolatedSmileSection::rmsError() const {
calculate();
return noArbSabrInterpolation_->rmsError();
}
inline Real NoArbSabrInterpolatedSmileSection::maxError() const {
calculate();
return noArbSabrInterpolation_->maxError();
}
inline EndCriteria::Type NoArbSabrInterpolatedSmileSection::endCriteria() const {
calculate();
return noArbSabrInterpolation_->endCriteria();
}
inline Real NoArbSabrInterpolatedSmileSection::minStrike() const {
calculate();
return actualStrikes_.front();
}
inline Real NoArbSabrInterpolatedSmileSection::maxStrike() const {
calculate();
return actualStrikes_.back();
}
inline Real NoArbSabrInterpolatedSmileSection::atmLevel() const {
calculate();
return forwardValue_;
}
}
#endif
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