Exemplo n.º 1
0
 void CapFloorTermVolSurface::interpolate()
 {
     interpolation_ = BicubicSpline(strikes_.begin(),
                                    strikes_.end(),
                                    optionTimes_.begin(),
                                    optionTimes_.end(),
                                    vols_);
 }
Exemplo n.º 2
0
    Real Fdm2DimSolver::thetaAt(Real x, Real y) const {
        QL_REQUIRE(conditions_->stoppingTimes().front() > 0.0,
                   "stopping time at zero-> can't calculate theta");

        calculate();
        Matrix thetaValues(resultValues_.rows(), resultValues_.columns());

        const Array& rhs = thetaCondition_->getValues();
        std::copy(rhs.begin(), rhs.end(), thetaValues.begin());

        return (BicubicSpline(x_.begin(), x_.end(), y_.begin(), y_.end(),
                              thetaValues)(x, y) - interpolateAt(x, y))
              / thetaCondition_->getTime();
    }
Exemplo n.º 3
0
    Real FdmHestonSolver::thetaAt(Real s, Real v) const {
        QL_REQUIRE(condition_->stoppingTimes().front() > 0.0,
                   "stopping time at zero-> can't calculate theta");

        calculate();
        Matrix thetaValues(resultValues_.rows(), resultValues_.columns());

        const Array& rhs = thetaCondition_->getValues();
        std::copy(rhs.begin(), rhs.end(), thetaValues.begin());

        return (BicubicSpline(x_.begin(), x_.end(), v_.begin(), v_.end(),
                              thetaValues)(std::log(s), v) - valueAt(s, v))
              / thetaCondition_->getTime();
    }
Exemplo n.º 4
0
    Real Fdm3DimSolver::thetaAt(Real x, Real y, Rate z) const {
        QL_REQUIRE(conditions_->stoppingTimes().front() > 0.0,
                   "stopping time at zero-> can't calculate theta");
        calculate();

        const Array& rhs = thetaCondition_->getValues();
        std::vector<Matrix> thetaValues(z_.size(), Matrix(y_.size(),x_.size()));
        for (Size i=0; i < z_.size(); ++i) {
            std::copy(rhs.begin()+i    *y_.size()*x_.size(),
                      rhs.begin()+(i+1)*y_.size()*x_.size(),
                      thetaValues[i].begin());
        }

        Array zArray(z_.size());
        for (Size i=0; i < z_.size(); ++i) {
            zArray[i] = BicubicSpline(x_.begin(),x_.end(),
                                      y_.begin(),y_.end(), thetaValues[i])(x,y);
        }

        return (MonotonicCubicNaturalSpline(z_.begin(), z_.end(),
                                            zArray.begin())(z)
                - interpolateAt(x, y, z)) / thetaCondition_->getTime();
    }
    Real FdmHestonHullWhiteSolver::thetaAt(Real s, Real v, Rate r) const {
        QL_REQUIRE(condition_->stoppingTimes().front() > 0.0,
                   "stopping time at zero-> can't calculate theta");

        calculate();

        const Array& rhs = thetaCondition_->getValues();
        std::vector<Matrix> thetaValues(r_.size(), Matrix(v_.size(),x_.size()));
        for (Size i=0; i < r_.size(); ++i) {
            std::copy(rhs.begin()+i    *v_.size()*x_.size(), 
                      rhs.begin()+(i+1)*v_.size()*x_.size(),
                      thetaValues[i].begin());
        }

        Array y(r_.size());
        const Real x = std::log(s);
        for (Size i=0; i < r_.size(); ++i) {
            y[i] = BicubicSpline(x_.begin(), x_.end(),
                                 v_.begin(), v_.end(), thetaValues[i])(x, v);
        }
                
        return (MonotonicCubicNaturalSpline(r_.begin(), r_.end(), y.begin())(r)
                - valueAt(s, v, r)) / thetaCondition_->getTime();
    }
 Interpolation2D interpolate(const I1& xBegin, const I1& xEnd,
                             const I2& yBegin, const I2& yEnd,
                             const M& z) const {
     return BicubicSpline(xBegin,xEnd,yBegin,yEnd,z);
 }