/usr/include/ql/experimental/volatility/sabrvolsurface.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) 2007 Ferdinando Ametrano
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 sabrvolsurface.hpp
\brief SABR volatility (smile) surface
*/
#ifndef quantlib_sabr_vol_surface_hpp
#define quantlib_sabr_vol_surface_hpp
#include <ql/experimental/volatility/interestratevolsurface.hpp>
#include <ql/experimental/volatility/blackatmvolcurve.hpp>
#include <ql/quote.hpp>
#include <ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp>
#include <boost/array.hpp>
namespace QuantLib {
//! SABR volatility (smile) surface
/*! blah blah
*/
class SabrVolSurface : public InterestRateVolSurface {
public:
SabrVolSurface(
const boost::shared_ptr<InterestRateIndex>&,
const Handle<BlackAtmVolCurve>&,
const std::vector<Period>& optionTenors,
const std::vector<Spread>& atmRateSpreads,
const std::vector<std::vector<Handle<Quote> > >& volSpreads);
//@}
// All virtual methods of base classes must be forwarded
//! \name TermStructure interface
//@{
DayCounter dayCounter() const;
Date maxDate() const;
Time maxTime() const;
const Date& referenceDate() const;
Calendar calendar() const;
Natural settlementDays() const;
//@}
//! \name VolatilityTermStructure interface
//@{
Real minStrike() const;
Real maxStrike() const;
//@}
const Handle<BlackAtmVolCurve>& atmCurve() const;
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
std::vector<Volatility> volatilitySpreads(const Period&) const;
std::vector<Volatility> volatilitySpreads(const Date&) const;
protected:
boost::array<Real, 4> sabrGuesses(const Date&) const;
public:
//@}
//! \name BlackVolSurface interface
//@{
boost::shared_ptr<SmileSection> smileSectionImpl(Time) const;
//@}
protected:
//@}
//! \name LazyObject interface
//@{
void performCalculations () const;
virtual void update();
//@}
private:
void registerWithMarketData();
void checkInputs() const;
void updateSabrGuesses(const Date& d, boost::array<Real, 4> newGuesses) const;
Handle<BlackAtmVolCurve> atmCurve_;
std::vector<Period> optionTenors_;
std::vector<Time> optionTimes_;
std::vector<Date> optionDates_;
std::vector<Spread> atmRateSpreads_;
std::vector<std::vector<Handle<Quote> > > volSpreads_;
//
bool isAlphaFixed_;
bool isBetaFixed_;
bool isNuFixed_;
bool isRhoFixed_;
bool vegaWeighted_;
//
mutable std::vector<boost::array<Real,4> > sabrGuesses_;
};
// inline
inline DayCounter SabrVolSurface::dayCounter() const {
return atmCurve_->dayCounter();
}
inline Date SabrVolSurface::maxDate() const {
return atmCurve_->maxDate();
}
inline Time SabrVolSurface::maxTime() const {
return atmCurve_->maxTime();
}
inline const Date& SabrVolSurface::referenceDate() const {
return atmCurve_->referenceDate();
}
inline Calendar SabrVolSurface::calendar() const {
return atmCurve_->calendar();
}
inline Natural SabrVolSurface::settlementDays() const {
return atmCurve_->settlementDays();
}
inline Real SabrVolSurface::minStrike() const {
return QL_MIN_REAL;
}
inline Real SabrVolSurface::maxStrike() const {
return QL_MAX_REAL;
}
inline const Handle<BlackAtmVolCurve>& SabrVolSurface::atmCurve() const {
return atmCurve_;
}
inline std::vector<Volatility>
SabrVolSurface::volatilitySpreads(const Period& p) const {
return volatilitySpreads(optionDateFromTenor(p));
}
}
#endif
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