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Fx options utils - BlackVolatilitySurfaceDelta class
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490046d
Added first fx vol utils classes from ORE
paolodelia99 be091ed
Add unit test for BlackVolatilitySurfaceDelta with non-constant volat…
paolodelia99 5d346f8
make InterpolatedFxSmileSection lazy, possibility to pass handle<quot…
paolodelia99 93c57cb
Fix compilation errors
paolodelia99 dddeafd
Replace InterpolatedFxSmileSection with already present InterpolatedS…
paolodelia99 94f4762
renaming vars, added docs string for the blackvolsurfacedelta
paolodelia99 3e61f8d
set flatStrikeExtrapolation to false, add checkStrike sanity check in…
paolodelia99 9a58b8a
fix win compilation error, in generate doc error
paolodelia99 813c1bf
Updated initial comment in the tests
paolodelia99 ff66504
Fix various oversights and add interpolatedsmilesection first tests
paolodelia99 8e6afe6
no anonymous namespace anymore, removed #pragma once
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101 changes: 101 additions & 0 deletions
101
ql/termstructures/volatility/equityfx/blackvariancetimeextrapolation.hpp
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| /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ | ||
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| /* | ||
| Copyright (C) 2025 AcadiaSoft Inc. | ||
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| This file is part of QuantLib, a free-software/open-source library | ||
| for financial quantitative analysts and developers - http://quantlib.org/ | ||
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| 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 | ||
| <[email protected]>. The license is also available online at | ||
| <http://quantlib.org/license.shtml>. | ||
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| 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. | ||
| */ | ||
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| /*! \file blackvariancetimeextrapolation.hpp | ||
| \brief Utility function for time extrapolation in Black volatility in black variance term structures | ||
| */ | ||
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| #include <array> | ||
| #include <functional> | ||
| #include <ql/math/comparison.hpp> | ||
| #include <ql/math/interpolation.hpp> | ||
| #include <ql/math/interpolations/interpolation2d.hpp> | ||
| #include <ql/math/interpolations/linearinterpolation.hpp> | ||
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| namespace QuantLib { | ||
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| namespace detail { | ||
| Real linearExtrapolation(const double t, const std::array<double, 2>& times, const std::array<double, 2>& variances); | ||
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| inline Real linearExtrapolation(const double t, const std::array<double, 2>& times, | ||
| const std::array<double, 2>& variances) { | ||
| QL_REQUIRE(t > times[1], "t must be greater than times[1]"); | ||
| QL_REQUIRE(times[1] > times[0], "times must be sorted"); | ||
| QL_REQUIRE(variances[1] >= variances[0], "variances must be non-decreasing"); | ||
| std::array<double, 2> vols; | ||
| vols[0] = close_enough(times[0], 0.0) ? 0.0 : std::sqrt(variances[0] / times[0]); | ||
| vols[1] = close_enough(times[1], 0.0) ? 0.0 : std::sqrt(variances[1] / times[1]); | ||
| LinearInterpolation interpolation(times.begin(), times.end(), vols.begin()); | ||
| return std::max(interpolation(t, true), 0.0); | ||
| } | ||
| } // namespace | ||
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| //! Extrapolate black variance using flat vol extrapolation in time direction | ||
| Real timeExtrapolatationBlackVarianceFlat(const Time t, const std::vector<double>& times, | ||
| const Interpolation& varianceCurve); | ||
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| //! Extrapolate black variance using flat vol extrapolation in time direction | ||
| template <typename F> | ||
| Real timeExtrapolatationBlackVarianceFlat(const Time t, const Real strike, const std::vector<double>& times, | ||
| const F& varianceSurface) { | ||
| return std::max(varianceSurface(times.back(), strike, true), 0.0) / times.back() * t; | ||
| } | ||
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| //! Extrapolate black variance in vol space and time direction using interpolation | ||
| //! Takes black variances convert them to volatilities and then linearly extrapolates | ||
| //! the volatilities in time direction | ||
| Real timeExtrapolatationBlackVarianceInVolatility(const Time t, const std::vector<double>& times, | ||
| const Interpolation& varianceCurve); | ||
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| //! Extrapolate black variance in vol space and time direction using interpolation | ||
| //! Takes black variances convert them to volatilities and then linearly extrapolates | ||
| //! the volatilities in time direction | ||
| template <typename F> | ||
| Real timeExtrapolatationBlackVarianceInVolatility(const Time t, const Real strike, const std::vector<double>& times, | ||
| const F& varianceSurface) { | ||
| Size ind1 = times.size() - 2; | ||
| Size ind2 = times.size() - 1; | ||
| std::array<Real, 2> xs{times[ind1], times[ind2]}; | ||
| std::array<Real, 2> variances; | ||
| variances[0] = varianceSurface(xs[0], strike, true); | ||
| variances[1] = varianceSurface(xs[1], strike, true); | ||
| Real v = detail::linearExtrapolation(t, xs, variances); | ||
| return v * v * t; | ||
| } | ||
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| inline Real timeExtrapolatationBlackVarianceFlat(const Time t, const std::vector<double>& times, | ||
| const Interpolation& varianceCurve) { | ||
| return std::max(varianceCurve(times.back(), true), 0.0) / times.back() * t; | ||
| } | ||
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| inline Real timeExtrapolatationBlackVarianceInVolatility(const Time t, const std::vector<double>& times, | ||
| const Interpolation& varianceCurve) { | ||
| Size ind1 = times.size() - 2; | ||
| Size ind2 = times.size() - 1; | ||
| std::array<Real, 2> xs{times[ind1], times[ind2]}; | ||
| std::array<Real, 2> variances; | ||
| variances[0] = varianceCurve(xs[0], true); | ||
| variances[1] = varianceCurve(xs[1], true); | ||
| Real v = detail::linearExtrapolation(t, xs, variances); | ||
| return v * v * t; | ||
| } | ||
| } // namespace QuantLib | ||
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"extrapolatation" (here and everywhere)