Fx options utils - BlackVolatilitySurfaceDelta class
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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 | ||
| */ | ||
| #pragma once | ||
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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 { | ||
| 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, | ||
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Owner
There was a problem hiding this comment. "extrapolatation" (here and everywhere) |
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| 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 = 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 = linearExtrapolation(t, xs, variances); | ||
| return v * v * t; | ||
| } | ||
| } // namespace QuantLib | ||
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An anonymous namespace in a header file doesn't make a lot of sense—
namespace detailis better.