Exemple #1
0
    Spread CallableBond::OAS(Real cleanPrice,
                             const Handle<YieldTermStructure>& engineTS,
                             const DayCounter& dayCounter,
                             Compounding compounding,
                             Frequency frequency,
                             Date settlement,
                             Real accuracy,
                             Size maxIterations,
                             Spread guess)
    {
        if (settlement == Date())
            settlement = settlementDate();

        Real dirtyPrice = cleanPrice + accruedAmount(settlement);

        boost::function<Real(Real)> f = NPVSpreadHelper(*this);
        OASHelper obj(f, dirtyPrice);

        Brent solver;
        solver.setMaxEvaluations(maxIterations);

        Real step = 0.001;
        Spread oas=solver.solve(obj, accuracy, guess, step);

        return continuousToConv(oas,
                                *this,
                                engineTS,
                                dayCounter,
                                compounding,
                                frequency);
    }
    Volatility CalibrationHelper::impliedVolatility(Real targetValue,
                                                    Real accuracy,
                                                    Size maxEvaluations,
                                                    Volatility minVol,
                                                    Volatility maxVol) const {

        ImpliedVolatilityHelper f(*this,targetValue);
        Brent solver;
        solver.setMaxEvaluations(maxEvaluations);
        return solver.solve(f,accuracy,volatility_->value(),minVol,maxVol);
    }
std::vector<Volatility> OptionletStripper2::spreadsVolImplied() const {

    Brent solver;
    std::vector<Volatility> result(nOptionExpiries_);
    Volatility guess = 0.0001, minSpread = -0.1, maxSpread = 0.1;
    for (Size j=0; j<nOptionExpiries_; ++j) {
        ObjectiveFunction f(stripper1_, caps_[j], atmCapFloorPrices_[j]);
        solver.setMaxEvaluations(maxEvaluations_);
        Volatility root = solver.solve(f, accuracy_, guess,
                                       minSpread, maxSpread);
        result[j] = root;
    }
    return result;
}
Exemple #4
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 Volatility CallableBond::impliedVolatility(
                           Real targetValue,
                           const Handle<YieldTermStructure>& discountCurve,
                           Real accuracy,
                           Size maxEvaluations,
                           Volatility minVol,
                           Volatility maxVol) const {
     calculate();
     QL_REQUIRE(!isExpired(), "instrument expired");
     Volatility guess = 0.5*(minVol + maxVol);
     blackDiscountCurve_.linkTo(*discountCurve, false);
     ImpliedVolHelper f(*this,targetValue);
     Brent solver;
     solver.setMaxEvaluations(maxEvaluations);
     return solver.solve(f, accuracy, guess, minVol, maxVol);
 }
    Volatility HestonBlackVolSurface::blackVolImpl(Time t, Real strike) const {
        const boost::shared_ptr<HestonProcess> process = hestonModel_->process();

        const DiscountFactor df = process->riskFreeRate()->discount(t, true);
        const DiscountFactor div = process->dividendYield()->discount(t, true);
        const Real spotPrice = process->s0()->value();

        const Real fwd = spotPrice
            * process->dividendYield()->discount(t, true)
            / process->riskFreeRate()->discount(t, true);


        const PlainVanillaPayoff payoff(
            fwd > strike ? Option::Put : Option::Call, strike);

        const Real kappa = hestonModel_->kappa();
        const Real theta = hestonModel_->theta();
        const Real rho   = hestonModel_->rho();
        const Real sigma = hestonModel_->sigma();
        const Real v0    = hestonModel_->v0();

        const AnalyticHestonEngine::ComplexLogFormula cpxLogFormula
            = AnalyticHestonEngine::Gatheral;

        const AnalyticHestonEngine* const hestonEnginePtr = 0;

        Real npv;
        Size evaluations;

        AnalyticHestonEngine::doCalculation(
            df, div, spotPrice, strike, t,
            kappa, theta, sigma, v0, rho,
            payoff, integration_, cpxLogFormula,
            hestonEnginePtr, npv, evaluations);

        if (npv <= 0.0) return std::sqrt(theta);

        Brent solver;
        solver.setMaxEvaluations(10000);
        const Volatility guess = std::sqrt(theta);
        const Real accuracy = std::numeric_limits<Real>::epsilon();

        const boost::function<Real(Real)> f = boost::bind(
            &blackValue, payoff.optionType(), strike, fwd, t, _1, df, npv);

        return solver.solve(f, accuracy, guess, 0.01);
    }
    Real InverseNonCentralChiSquareDistribution::operator()(Real x) const {

        // first find the right side of the interval
        Real upper = guess_;
        Size evaluations = maxEvaluations_;
        while (nonCentralDist_(upper) < x && evaluations > 0) {
            upper*=2.0;
            --evaluations;
        }

        // use a brent solver for the rest
        Brent solver;
        solver.setMaxEvaluations(evaluations);
        return solver.solve(compose(std::bind2nd(std::minus<Real>(),x), 
                                    nonCentralDist_),
                            accuracy_, 0.75*upper, 
                            (evaluations == maxEvaluations_)? 0.0: 0.5*upper,
                            upper);
    }
Exemple #7
0
    Volatility CdsOption::impliedVolatility(
                   Real targetValue,
                   const Handle<YieldTermStructure>& termStructure,
                   const Handle<DefaultProbabilityTermStructure>& probability,
                   Real recoveryRate,
                   Real accuracy,
                   Size maxEvaluations,
                   Volatility minVol,
                   Volatility maxVol) const {
        calculate();
        QL_REQUIRE(!isExpired(), "instrument expired");

        Volatility guess = 0.10;

        ImpliedVolHelper f(*this, probability, recoveryRate,
                           termStructure, targetValue);
        Brent solver;
        solver.setMaxEvaluations(maxEvaluations);
        return solver.solve(f, accuracy, guess, minVol, maxVol);
    }
Exemple #8
0
        Volatility ImpliedVolatilityHelper::calculate(
                                                 const Instrument& instrument,
                                                 const PricingEngine& engine,
                                                 SimpleQuote& volQuote,
                                                 Real targetValue,
                                                 Real accuracy,
                                                 Natural maxEvaluations,
                                                 Volatility minVol,
                                                 Volatility maxVol) {

            instrument.setupArguments(engine.getArguments());
            engine.getArguments()->validate();

            PriceError f(engine, volQuote, targetValue);
            Brent solver;
            solver.setMaxEvaluations(maxEvaluations);
            Volatility guess = (minVol+maxVol)/2.0;
            Volatility result = solver.solve(f, accuracy, guess,
                                             minVol, maxVol);
            return result;
        }
    CapPseudoDerivative::CapPseudoDerivative(boost::shared_ptr<MarketModel> inputModel,
        Real strike,
        Size startIndex,
        Size endIndex, Real firstDF) : firstDF_(firstDF)
    {
        QL_REQUIRE(startIndex < endIndex, "for a cap pseudo derivative the start of the cap must be before the end");
        QL_REQUIRE( endIndex <= inputModel->numberOfRates(), "for a cap pseudo derivative the end of the cap must before the end of the rates");

        Size numberCaplets = endIndex-startIndex;
        Size numberRates = inputModel->numberOfRates();
        Size factors = inputModel->numberOfFactors();
        LMMCurveState curve(inputModel->evolution().rateTimes());
        curve.setOnForwardRates(inputModel->initialRates());

        const Matrix& totalCovariance(inputModel->totalCovariance(inputModel->numberOfSteps()-1));

        std::vector<Real> displacedImpliedVols(numberCaplets);
        std::vector<Real> annuities(numberCaplets);
        std::vector<Real> initialRates(numberCaplets);
        std::vector<Real> expiries(numberCaplets);

        Real capPrice =0.0;

        Real guess=0.0;
        Real minVol = 1e10;
        Real maxVol =0.0;

        for (Size j = startIndex; j < endIndex; ++j)
        {
            Size capletIndex = j - startIndex;
            Time resetTime = inputModel->evolution().rateTimes()[j];
            expiries[capletIndex] =  resetTime;

            Real sd = std::sqrt(totalCovariance[j][j]);
            displacedImpliedVols[capletIndex] = std::sqrt(totalCovariance[j][j]/resetTime);

            Real forward = inputModel->initialRates()[j];
            initialRates[capletIndex] = forward;

            Real annuity = curve.discountRatio(j+1,0)* inputModel->evolution().rateTaus()[j]*firstDF_;
            annuities[capletIndex] = annuity;

            Real displacement =  inputModel->displacements()[j];

            guess+=  displacedImpliedVols[capletIndex]*(forward+displacement)/forward;
            minVol =std::min(minVol, displacedImpliedVols[capletIndex]);
            maxVol =std::max(maxVol, displacedImpliedVols[capletIndex]*(forward+displacement)/forward);


            Real capletPrice = blackFormula(Option::Call,
                strike,
                forward,
                sd,
                annuity,
                displacement
                );

            capPrice += capletPrice;

        }

        guess/=numberCaplets;


        for (Size step =0; step < inputModel->evolution().numberOfSteps(); ++step)
        {
            Matrix thisDerivative(numberRates,factors,0.0);

            for (Size rate =std::max(inputModel->evolution().firstAliveRate()[step],startIndex); 
                rate < endIndex; ++rate)
            {
                for (Size f=0; f < factors; ++f)
                {
                    Real expiry = inputModel->evolution().rateTimes()[rate];
                    Real volDerivative = inputModel->pseudoRoot(step)[rate][f]
                    /(displacedImpliedVols[rate-startIndex]*expiry);
                    Real capletVega = blackFormulaVolDerivative(strike,inputModel->initialRates()[rate],
                        displacedImpliedVols[rate-startIndex]*std::sqrt(expiry),
                        expiry,
                        annuities[rate-startIndex],
                        inputModel->displacements()[rate]);

                    // note that the cap derivative  is equal to one of the caplet ones so we lose a loop
                    thisDerivative[rate][f] = volDerivative*capletVega;
                }
            }

            priceDerivatives_.push_back(thisDerivative);

        }

        QuickCap capPricer(strike, annuities, initialRates, expiries,capPrice);

        Size maxEvaluations = 1000;
        Real accuracy = 1E-6;

        Brent solver;
        solver.setMaxEvaluations(maxEvaluations);
        impliedVolatility_ =   solver.solve(capPricer,accuracy,guess,minVol*0.99,maxVol*1.01);
      
            

        vega_ = capPricer.vega(impliedVolatility_);



        for (Size step =0; step < inputModel->evolution().numberOfSteps(); ++step)
        {
            Matrix thisDerivative(numberRates,factors,0.0);

            for (Size rate =std::max(inputModel->evolution().firstAliveRate()[step],startIndex); 
                rate < endIndex; ++rate)
            {
                for (Size f=0; f < factors; ++f)
                {
                   
                    thisDerivative[rate][f] = priceDerivatives_[step][rate][f]/vega_;
                }
            }

            volatilityDerivatives_.push_back(thisDerivative);

        }



    }
    void AnalyticCompoundOptionEngine::calculate() const {

        QL_REQUIRE(strikeDaughter()>0.0,
                   "Daughter strike must be positive");

        QL_REQUIRE(strikeMother()>0.0,
                   "Mother strike must be positive");

        QL_REQUIRE(spot() >= 0.0, "negative or null underlying given");

        /* Solver Setup ***************************************************/
        Date helpDate(process_->riskFreeRate()->referenceDate());
        Date helpMaturity=helpDate+(maturityDaughter()-maturityMother())*Days;
        Real vol =process_->blackVolatility()->blackVol(helpMaturity,
                                                        strikeDaughter());

        Time helpTimeToMat=process_->time(helpMaturity);
        vol=vol*std::sqrt(helpTimeToMat);

        DiscountFactor dividendDiscount =
            process_->dividendYield()->discount(helpMaturity);

        DiscountFactor riskFreeDiscount =
            process_->riskFreeRate()->discount(helpMaturity);


        boost::shared_ptr<ImpliedSpotHelper> f(
                new ImpliedSpotHelper(dividendDiscount, riskFreeDiscount,
                                      vol, payoffDaughter(), strikeMother()));

        Brent solver;
        solver.setMaxEvaluations(1000);
        Real accuracy = 1.0e-6;

        Real X=0.0;
        Real sSolved=0.0;
        sSolved=solver.solve(*f, accuracy, strikeDaughter(), 1.0e-6, strikeDaughter()*1000.0);
        X=transformX(sSolved); // transform stock to return as in Wystup's book
        /* Solver Setup Finished*****************************************/

        Real phi=typeDaughter(); // -1 or 1
        Real w=typeMother(); // -1 or 1

        Real rho=std::sqrt(residualTimeMother()/residualTimeDaughter());
        BivariateCumulativeNormalDistributionDr78 N2(w*rho) ;

        DiscountFactor ddD=dividendDiscountDaughter();
        DiscountFactor rdD=riskFreeDiscountDaughter();
        //DiscountFactor ddM=dividendDiscountMother();
        DiscountFactor rdM=riskFreeDiscountMother();

        Real XmSM=X-stdDeviationMother();
        Real S=spot();
        Real dP=dPlus();
        Real dPT12=dPlusTau12(sSolved);
        Real vD=volatilityDaughter();

        Real dM=dMinus();
        Real strD=strikeDaughter();
        Real strM=strikeMother();
        Real rTM=residualTimeMother();
        Real rTD=residualTimeDaughter();

        Real rD=riskFreeRateDaughter();
        Real dD=dividendRateDaughter();

        Real tempRes=0.0;
        Real tempDelta=0.0;
        Real tempGamma=0.0;
        Real tempVega=0.0;
        Real tempTheta=0.0;
        Real N2XmSM=N2(-phi*w*XmSM,phi*dP);
        Real N2X=N2(-phi*w*X,phi*dM);
        Real NeX=N_(-phi*w*e(X));
        Real NX=N_(-phi*w*X);
        Real NT12=N_(phi*dPT12);
        Real ndP=n_(dP);
        Real nXm=n_(XmSM);
        Real invMTime=1/std::sqrt(rTM);
        Real invDTime=1/std::sqrt(rTD);

        tempRes=phi*w*S*ddD*N2XmSM-phi*w*strD*rdD*N2X-w*strM*rdM*NX;
        tempDelta=phi*w*ddD*N2XmSM;
        tempGamma=(ddD/(vD*S))*(invMTime*nXm*NT12+w*invDTime*ndP*NeX);
        tempVega=ddD*S*((1/invMTime)*nXm*NT12+w*(1/invDTime)*ndP*NeX);

        tempTheta+=phi*w*dD*S*ddD*N2XmSM-phi*w*rD*strD*rdD*N2X-w*rD*strM*rdM*NX;
        tempTheta-=0.5*vD*S*ddD*(invMTime*nXm*NT12+w*invDTime*ndP*NeX);

        results_.value=tempRes;
        results_.delta=tempDelta;
        results_.gamma=tempGamma;
        results_.vega=tempVega;
        results_.theta=tempTheta;
    }