Logo Search packages:      
Sourcecode: quantlib version File versions  Download package


/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 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

 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.

#include <ql/models/calibrationhelper.hpp>
#include <ql/math/solvers1d/brent.hpp>

namespace QuantLib {

    class CalibrationHelper::ImpliedVolatilityHelper {
        ImpliedVolatilityHelper(const CalibrationHelper& helper,
                                Real value)
        : helper_(helper), value_(value) {}

        Real operator()(Volatility x) const {
            return value_ - helper_.blackPrice(x);
        const CalibrationHelper& helper_;
        Real value_;

00039     Volatility CalibrationHelper::impliedVolatility(Real targetValue,
                                                    Real accuracy,
                                                    Size maxEvaluations,
                                                    Volatility minVol,
                                                    Volatility maxVol) const {

        ImpliedVolatilityHelper f(*this,targetValue);
        Brent solver;
        return solver.solve(f,accuracy,volatility_->value(),minVol,maxVol);

00051     Real CalibrationHelper::calibrationError() {
        if (calibrateVolatility_) {
            const Real lowerPrice = blackPrice(0.001);
            const Real upperPrice = blackPrice(10);
            const Real modelPrice = modelValue();

            Volatility implied;
            if (modelPrice <= lowerPrice)
                implied = 0.001;
                if (modelPrice >= upperPrice)
                    implied = 10.0;
                    implied = this->impliedVolatility(
                                        modelPrice, 1e-12, 5000, 0.001, 10);

            return implied - volatility_->value();
        else {
            return std::fabs(marketValue() - modelValue())/marketValue();

Generated by  Doxygen 1.6.0   Back to index