/*! gaussian-assumption y-th percentile
*/
/*! \pre percentile must be in range (0%-100%) extremes excluded */
public double gaussianPercentile(double percentile)
{
Utils.QL_REQUIRE(percentile > 0.0 && percentile < 1.0, () => "percentile (" + percentile + ") must be in (0.0, 1.0)");
InverseCumulativeNormal gInverse = new InverseCumulativeNormal(mean(), standardDeviation());
return(gInverse.value(percentile));
}
//! gaussian-assumption Expected Shortfall at a given percentile
/*! Assuming a gaussian distribution it
* returns the expected loss in case that the loss exceeded
* a VaR threshold,
*
* that is the average of observations below the
* given percentile \f$ p \f$.
* Also know as conditional value-at-risk.
*
* See Artzner, Delbaen, Eber and Heath,
* "Coherent measures of risk", Mathematical Finance 9 (1999)
*/
public double gaussianExpectedShortfall(double percentile)
{
Utils.QL_REQUIRE(percentile < 1.0 && percentile >= 0.9, () => "percentile (" + percentile + ") out of range [0.9, 1)");
double m = this.mean();
double std = this.standardDeviation();
InverseCumulativeNormal gInverse = new InverseCumulativeNormal(m, std);
double var = gInverse.value(1.0 - percentile);
NormalDistribution g = new NormalDistribution(m, std);
double result = m - std * std * g.value(var) / (1.0 - percentile);
// expectedShortfall must be a loss
// this means that it has to be MIN(result, 0.0)
// expectedShortfall must also be a positive quantity, so -MIN(*)
return(-Math.Min(result, 0.0));
}
// alternative delta type
private double strikeFromDelta(double delta, DeltaVolQuote.DeltaType dt)
{
double res = 0.0;
double arg = 0.0;
InverseCumulativeNormal f = new InverseCumulativeNormal();
Utils.QL_REQUIRE(delta * phi_ >= 0.0, () => "Option type and delta are incoherent.");
switch (dt)
{
case DeltaVolQuote.DeltaType.Spot:
Utils.QL_REQUIRE(Math.Abs(delta) <= fDiscount_, () => "Spot delta out of range.");
arg = -phi_ *f.value(phi_ *delta / fDiscount_) * stdDev_ + 0.5 * stdDev_ * stdDev_;
res = forward_ * Math.Exp(arg);
break;
case DeltaVolQuote.DeltaType.Fwd:
Utils.QL_REQUIRE(Math.Abs(delta) <= 1.0, () => "Forward delta out of range.");
arg = -phi_ *f.value(phi_ *delta) * stdDev_ + 0.5 * stdDev_ * stdDev_;
res = forward_ * Math.Exp(arg);
break;
case DeltaVolQuote.DeltaType.PaSpot:
case DeltaVolQuote.DeltaType.PaFwd:
// This has to be solved numerically. One of the
// problems is that the premium adjusted call delta is
// not monotonic in strike, such that two solutions
// might occur. The one right to the max of the delta is
// considered to be the correct strike. Some proper
// interval bounds for the strike need to be chosen, the
// numerics can otherwise be very unreliable and
// unstable. I've chosen Brent over Newton, since the
// interval can be specified explicitly and we can not
// run into the area on the left of the maximum. The
// put delta doesn't have this property and can be
// solved without any problems, but also numerically.
BlackDeltaPremiumAdjustedSolverClass f1 = new BlackDeltaPremiumAdjustedSolverClass(
ot_, dt, spot_, dDiscount_, fDiscount_, stdDev_, delta);
Brent solver = new Brent();
solver.setMaxEvaluations(1000);
double accuracy = 1.0e-10;
double rightLimit = 0.0;
double leftLimit = 0.0;
// Strike of not premium adjusted is always to the right of premium adjusted
if (dt == DeltaVolQuote.DeltaType.PaSpot)
{
rightLimit = strikeFromDelta(delta, DeltaVolQuote.DeltaType.Spot);
}
else
{
rightLimit = strikeFromDelta(delta, DeltaVolQuote.DeltaType.Fwd);
}
if (phi_ < 0)
{
// if put
res = solver.solve(f1, accuracy, rightLimit, 0.0, spot_ * 100.0);
break;
}
else
{
// find out the left limit which is the strike
// corresponding to the value where premium adjusted
// deltas have their maximum.
BlackDeltaPremiumAdjustedMaxStrikeClass g = new BlackDeltaPremiumAdjustedMaxStrikeClass(
ot_, dt, spot_, dDiscount_, fDiscount_, stdDev_);
leftLimit = solver.solve(g, accuracy, rightLimit * 0.5, 0.0, rightLimit);
double guess = leftLimit + (rightLimit - leftLimit) * 0.5;
res = solver.solve(f1, accuracy, guess, leftLimit, rightLimit);
} // end if phi<0 else
break;
default:
Utils.QL_FAIL("invalid delta type");
break;
}
return(res);
}
