| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2010 Adrian O' Neill |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/experimental/variancegamma/variancegammamodel.hpp> |
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| 21 | #include <ql/quotes/simplequote.hpp> |
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| 22 | |
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| 23 | namespace QuantLib { |
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| 24 | |
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| 25 | VarianceGammaModel::VarianceGammaModel( |
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| 26 | const ext::shared_ptr<VarianceGammaProcess> & process) |
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| 27 | : CalibratedModel(3), process_(process) { |
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| 28 | arguments_[0] = ConstantParameter(process->sigma(), |
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| 29 | PositiveConstraint()); |
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| 30 | arguments_[1] = ConstantParameter(process->nu(), |
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| 31 | PositiveConstraint()); |
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| 32 | arguments_[2] = ConstantParameter(process->theta(), |
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| 33 | NoConstraint()); |
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| 34 | |
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| 35 | VarianceGammaModel::generateArguments(); |
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| 36 | |
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| 37 | registerWith(h: process_->riskFreeRate()); |
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| 38 | registerWith(h: process_->dividendYield()); |
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| 39 | registerWith(h: process_->s0()); |
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| 40 | } |
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| 41 | |
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| 42 | void VarianceGammaModel::generateArguments() { |
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| 43 | process_.reset(p: new VarianceGammaProcess(process_->s0(), |
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| 44 | process_->dividendYield(), |
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| 45 | process_->riskFreeRate(), |
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| 46 | sigma(), nu(), theta())); |
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| 47 | } |
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| 48 | |
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| 49 | } |
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| 50 | |
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| 51 | |
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