/usr/include/ql/math/interpolations/abcdinterpolation.hpp is in libquantlib0-dev 1.7.1-1.
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/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 Cristina Duminuco
Copyright (C) 2007 Giorgio Facchinetti
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 abcdinterpolation.hpp
\brief Abcd interpolation interpolation between discrete points
*/
#ifndef quantlib_abcd_interpolation_hpp
#define quantlib_abcd_interpolation_hpp
#include <ql/math/interpolation.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/termstructures/volatility/abcd.hpp>
#include <ql/termstructures/volatility/abcdcalibration.hpp>
namespace QuantLib {
class EndCriteria;
class OptimizationMethod;
namespace detail {
class AbcdCoeffHolder {
public:
AbcdCoeffHolder(Real a,
Real b,
Real c,
Real d,
bool aIsFixed,
bool bIsFixed,
bool cIsFixed,
bool dIsFixed)
: a_(a), b_(b), c_(c), d_(d),
aIsFixed_(false), bIsFixed_(false),
cIsFixed_(false), dIsFixed_(false),
k_(std::vector<Real>()),
error_(Null<Real>()),
maxError_(Null<Real>()),
abcdEndCriteria_(EndCriteria::None) {
if (a_ != Null<Real>())
aIsFixed_ = aIsFixed;
else a_ = -0.06;
if (b_ != Null<Real>())
bIsFixed_ = bIsFixed;
else b_ = 0.17;
if (c_ != Null<Real>())
cIsFixed_ = cIsFixed;
else c_ = 0.54;
if (d_ != Null<Real>())
dIsFixed_ = dIsFixed;
else d_ = 0.17;
AbcdMathFunction::validate(a, b, c, d);
}
virtual ~AbcdCoeffHolder() {}
Real a_, b_, c_, d_;
bool aIsFixed_, bIsFixed_, cIsFixed_, dIsFixed_;
std::vector<Real> k_;
Real error_, maxError_;
EndCriteria::Type abcdEndCriteria_;
};
template <class I1, class I2>
class AbcdInterpolationImpl : public Interpolation::templateImpl<I1,I2>,
public AbcdCoeffHolder {
public:
AbcdInterpolationImpl(
const I1& xBegin, const I1& xEnd,
const I2& yBegin,
Real a, Real b, Real c, Real d,
bool aIsFixed,
bool bIsFixed,
bool cIsFixed,
bool dIsFixed,
bool vegaWeighted,
const boost::shared_ptr<EndCriteria>& endCriteria,
const boost::shared_ptr<OptimizationMethod>& optMethod)
: Interpolation::templateImpl<I1,I2>(xBegin, xEnd, yBegin),
AbcdCoeffHolder(a, b, c, d,
aIsFixed, bIsFixed, cIsFixed, dIsFixed),
endCriteria_(endCriteria), optMethod_(optMethod),
vegaWeighted_(vegaWeighted) { }
void update() {
std::vector<Real>::const_iterator x = this->xBegin_;
std::vector<Real>::const_iterator y = this->yBegin_;
std::vector<Real> times, blackVols;
for ( ; x!=this->xEnd_; ++x, ++y) {
times.push_back(*x);
blackVols.push_back(*y);
}
abcdCalibrator_ = boost::shared_ptr<AbcdCalibration>(
new AbcdCalibration(times, blackVols,
a_, b_, c_, d_,
aIsFixed_, bIsFixed_,
cIsFixed_, dIsFixed_,
vegaWeighted_,
endCriteria_,
optMethod_));
abcdCalibrator_->compute();
a_ = abcdCalibrator_->a();
b_ = abcdCalibrator_->b();
c_ = abcdCalibrator_->c();
d_ = abcdCalibrator_->d();
k_ = abcdCalibrator_->k(times, blackVols);
error_ = abcdCalibrator_->error();
maxError_ = abcdCalibrator_->maxError();
abcdEndCriteria_ = abcdCalibrator_->endCriteria();
}
Real value(Real x) const {
QL_REQUIRE(x>=0.0, "time must be non negative: " <<
x << " not allowed");
return abcdCalibrator_->value(x);
}
Real primitive(Real) const {
QL_FAIL("Abcd primitive not implemented");
}
Real derivative(Real) const {
QL_FAIL("Abcd derivative not implemented");
}
Real secondDerivative(Real) const {
QL_FAIL("Abcd secondDerivative not implemented");
}
Real k(Time t) const {
LinearInterpolation li(this->xBegin_, this->xEnd_, this->yBegin_);
return li(t);
}
private:
const boost::shared_ptr<EndCriteria> endCriteria_;
const boost::shared_ptr<OptimizationMethod> optMethod_;
bool vegaWeighted_;
boost::shared_ptr<AbcdCalibration> abcdCalibrator_;
};
}
//! %Abcd interpolation between discrete points.
/*! \ingroup interpolations */
class AbcdInterpolation : public Interpolation {
public:
/*! Constructor */
template <class I1, class I2>
AbcdInterpolation(const I1& xBegin, // x = times
const I1& xEnd,
const I2& yBegin, // y = volatilities
Real a = -0.06,
Real b = 0.17,
Real c = 0.54,
Real d = 0.17,
bool aIsFixed = false,
bool bIsFixed = false,
bool cIsFixed = false,
bool dIsFixed = false,
bool vegaWeighted = false,
const boost::shared_ptr<EndCriteria>& endCriteria
= boost::shared_ptr<EndCriteria>(),
const boost::shared_ptr<OptimizationMethod>& optMethod
= boost::shared_ptr<OptimizationMethod>()) {
impl_ = boost::shared_ptr<Interpolation::Impl>(new
detail::AbcdInterpolationImpl<I1,I2>(xBegin, xEnd, yBegin,
a, b, c, d,
aIsFixed, bIsFixed,
cIsFixed, dIsFixed,
vegaWeighted,
endCriteria,
optMethod));
impl_->update();
coeffs_ =
boost::dynamic_pointer_cast<detail::AbcdCoeffHolder>(impl_);
}
//! \name Inspectors
//@{
Real a() const { return coeffs_->a_; }
Real b() const { return coeffs_->b_; }
Real c() const { return coeffs_->c_; }
Real d() const { return coeffs_->d_; }
std::vector<Real> k() const { return coeffs_->k_; }
Real rmsError() const { return coeffs_->error_; }
Real maxError() const { return coeffs_->maxError_; }
EndCriteria::Type endCriteria(){ return coeffs_->abcdEndCriteria_; }
template <class I1>
Real k(Time t, const I1& xBegin, const I1& xEnd) const {
LinearInterpolation li(xBegin, xEnd, (coeffs_->k_).begin());
return li(t);
}
private:
boost::shared_ptr<detail::AbcdCoeffHolder> coeffs_;
};
//! %Abcd interpolation factory and traits
/*! \ingroup interpolations */
class Abcd {
public:
Abcd(Real a, Real b, Real c, Real d,
bool aIsFixed, bool bIsFixed,
bool cIsFixed, bool dIsFixed,
bool vegaWeighted = false,
const boost::shared_ptr<EndCriteria> endCriteria
= boost::shared_ptr<EndCriteria>(),
const boost::shared_ptr<OptimizationMethod> optMethod
= boost::shared_ptr<OptimizationMethod>())
: a_(a), b_(b), c_(c), d_(d),
aIsFixed_(aIsFixed), bIsFixed_(bIsFixed),
cIsFixed_(cIsFixed), dIsFixed_(dIsFixed),
vegaWeighted_(vegaWeighted),
endCriteria_(endCriteria),
optMethod_(optMethod) {}
template <class I1, class I2>
Interpolation interpolate(const I1& xBegin, const I1& xEnd,
const I2& yBegin) const {
return AbcdInterpolation(xBegin, xEnd, yBegin,
a_, b_, c_, d_,
aIsFixed_, bIsFixed_,
cIsFixed_, dIsFixed_,
vegaWeighted_,
endCriteria_, optMethod_);
}
static const bool global = true;
private:
Real a_, b_, c_, d_;
bool aIsFixed_, bIsFixed_, cIsFixed_, dIsFixed_;
bool vegaWeighted_;
const boost::shared_ptr<EndCriteria> endCriteria_;
const boost::shared_ptr<OptimizationMethod> optMethod_;
};
}
#endif
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