1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2014 Peter Caspers
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20#include <ql/experimental/volatility/sviinterpolation.hpp>
21#include <ql/experimental/volatility/svismilesection.hpp>
22#include <utility>
23
24namespace QuantLib {
25
26 SviSmileSection::SviSmileSection(Time timeToExpiry, Rate forward, std::vector<Real> sviParams)
27 : SmileSection(timeToExpiry, DayCounter()), forward_(forward), params_(std::move(sviParams)) {
28 init();
29 }
30
31 SviSmileSection::SviSmileSection(const Date& d,
32 Rate forward,
33 std::vector<Real> sviParams,
34 const DayCounter& dc)
35 : SmileSection(d, dc, Date()), forward_(forward), params_(std::move(sviParams)) {
36 init();
37 }
38
39void SviSmileSection::init() {
40 QL_REQUIRE(exerciseTime() > 0.0, "svi expects a strictly positive expiry time");
41 QL_REQUIRE(params_.size() == 5,
42 "svi expects 5 parameters (a,b,sigma,rho,m) but ("
43 << params_.size() << ") given");
44 detail::checkSviParameters(a: params_[0], b: params_[1], sigma: params_[2], rho: params_[3], m: params_[4],
45 tte: exerciseTime());
46}
47
48Volatility SviSmileSection::volatilityImpl(Rate strike) const {
49
50 Real k = std::log(x: std::max(a: strike, b: 1E-6) / forward_);
51 Real totalVariance = detail::sviTotalVariance(a: params_[0], b: params_[1], sigma: params_[2],
52 rho: params_[3], m: params_[4],k);
53 return std::sqrt(x: std::max(a: 0.0, b: totalVariance / exerciseTime()));
54
55}
56} // namespace QuantLib
57

source code of quantlib/ql/experimental/volatility/svismilesection.cpp