Real HullWhiteSmileSection::volatilityImpl(Rate strike) const {
boost::shared_ptr<VanillaSwap> underlying = MakeVanillaSwap(swapLength_,swapIndex_->iborIndex(),strike)
.withEffectiveDate(swapIndex_->valueDate(optionDate_))
.withFixedLegCalendar(swapIndex_->fixingCalendar())
.withFixedLegDayCount(swapIndex_->dayCounter())
.withFixedLegTenor(swapIndex_->fixedLegTenor())
.withFixedLegConvention(swapIndex_->fixedLegConvention())
.withFixedLegTerminationDateConvention(swapIndex_->fixedLegConvention())
.withType(VanillaSwap::Payer);
underlying->setPricingEngine(discountingEngine_);
boost::shared_ptr<Exercise> exercise(new EuropeanExercise(optionDate_));
Swaption swaption(underlying,exercise);
swaption.setPricingEngine(jamshidianEngine_);
Real npv = swaption.NPV();
Real annuity = fabs(underlying->fixedLegBPS() * 10000.0);
//Real blackNpv=blackFormula(Option::Call,strike,atm,0.30*sqrt(exerciseTime()));
//std::cout << std::setprecision(8) << "SECTION atm=" << atm_ << " annuity=" << annuity << " npv=" << npv << " strike= " << strike << std::endl;
Real vol=0.0;
try {
vol=blackFormulaImpliedStdDev(Option::Call,strike,atm_,npv,annuity) / sqrt(exerciseTime());
} catch(QuantLib::Error) {
//std::cout << " can not imply vol for npv " << npv << " black(300%)=" << blackFormula(Option::Call,strike,atm_,sqrt(exerciseTime())*3.00,annuity) <<
// " black(1%)=" << blackFormula(Option::Call,strike,atm_,sqrt(exerciseTime())*0.01,annuity) << std::endl;
if(npv>blackFormula(Option::Call,strike,atm_,3.00,annuity)) vol =3.0/sqrt(exerciseTime());
else vol=0.0;
}
return vol;
}
Real SmileSection::volatility(Rate strike, VolatilityType volatilityType,
Real shift) const {
if(volatilityType == volatilityType_ && close(shift,this->shift()))
return volatility(strike);
Real atm = atmLevel();
QL_REQUIRE(atm != Null<Real>(),
"smile section must provide atm level to compute converted volatilties");
Option::Type type = strike >= atm ? Option::Call : Option::Put;
Real premium = optionPrice(strike,type);
Real premiumAtm = optionPrice(atm,type);
if (volatilityType == ShiftedLognormal) {
try {
return blackFormulaImpliedStdDev(type, strike, atm, premium,
1.0, shift) /
std::sqrt(exerciseTime());
} catch(...) {
return blackFormulaImpliedStdDevChambers(
type, strike, atm, premium, premiumAtm, 1.0, shift) /
std::sqrt(exerciseTime());
}
} else {
return bachelierBlackFormulaImpliedVol(type, strike, atm,
exerciseTime(), premium);
}
}
Real BdkSmileSection::volatilityImpl(Rate strike) const {
Real vol = 0.0;
try {
vol = blackFormulaImpliedStdDev(Option::Call, strike, f_,
optionPrice(strike)) /
sqrt(source_->exerciseTime());
}
catch (QuantLib::Error) {
}
return vol;
}
Real Gaussian1dSmileSection::volatilityImpl(Rate strike) const {
Real vol = 0.0;
try {
Option::Type type = strike >= atm_ ? Option::Call : Option::Put;
Real o = optionPrice(strike, type);
vol = blackFormulaImpliedStdDev(type, strike, atm_, o) /
sqrt(exerciseTime());
} catch (...) {
}
return vol;
}
Real KahaleSmileSection::volatilityImpl(Rate strike) const {
strike = std::max ( strike, QL_KAHALE_EPS );
int i = index(strike);
if(!interpolate_ && !(i==0 || i==(int) (rightIndex_-leftIndex_+1))) return source_->volatility(strike);
Real c = cFunctions_[i]->operator()(strike);
Real vol=0.0;
try {
vol = blackFormulaImpliedStdDev(Option::Call,strike,f_,c) / sqrt(exerciseTime());
} catch(...) { }
return vol;
}
Real blackFormulaImpliedStdDev(
const boost::shared_ptr<PlainVanillaPayoff>& payoff,
Real forward,
Real blackPrice,
Real discount,
Real displacement,
Real guess,
Real accuracy,
Natural maxIterations) {
return blackFormulaImpliedStdDev(payoff->optionType(), payoff->strike(),
forward, blackPrice, discount, displacement, guess, accuracy, maxIterations);
}
void ImpliedStdDevQuote::performCalculations() const {
static const Real discount = 1.0;
static const Real displacement = 0.0;
Real blackPrice = price_->value();
try {
impliedStdev_ = blackFormulaImpliedStdDev(optionType_, strike_,
forward_->value(),
blackPrice,
discount, displacement,
impliedStdev_,
accuracy_, maxIter_);
} catch(Error&) {
impliedStdev_ = 0.0;
}
}
Real SplineDensitySmileSection::volatilityImpl(Rate strike) const {
strike = std::max(strike,0.00001); // assume only non shifted lognormal
// here ... TODO later ... (should be
// shifted lognormal with shift equal
// to minus lowerBound_
Option::Type type = strike >= f_ ? Option::Call : Option::Put;
Real p = optionPrice(strike,type);
Real vol = 0.0;
try {
vol = blackFormulaImpliedStdDev(type, strike, f_, p) /
sqrt(exerciseTime());
}
catch (...) {
}
return vol;
}
Real NoArbSabrSmileSection::volatilityImpl(Rate strike) const {
Real impliedVol = 0.0;
try {
Option::Type type;
if (strike >= forward_)
type = Option::Call;
else
type = Option::Put;
impliedVol =
blackFormulaImpliedStdDev(type, strike, forward_,
optionPrice(strike, type, 1.0), 1.0) /
std::sqrt(exerciseTime());
} catch (...) {
}
if (impliedVol == 0.0)
// fall back on Hagan 2002 expansion
impliedVol =
unsafeSabrVolatility(strike, forward_, exerciseTime(), params_[0],
params_[1], params_[2], params_[3]);
return impliedVol;
}
