public HestonBlackVolSurface(HestonModelHandle hestonModel, AnalyticHestonEngine.ComplexLogFormula cpxLogFormula) : this(NQuantLibcPINVOKE.new_HestonBlackVolSurface__SWIG_1(HestonModelHandle.getCPtr(hestonModel), (int)cpxLogFormula), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public AnalyticHestonEngine(HestonModel model, AnalyticHestonEngine.ComplexLogFormula cpxLog, AnalyticHestonEngine.AnalyticHestonEngine_Integration itg) : this(NQuantLibcPINVOKE.new_AnalyticHestonEngine__SWIG_4(HestonModel.getCPtr(model), (int)cpxLog, AnalyticHestonEngine.AnalyticHestonEngine_Integration.getCPtr(itg)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
protected override double blackVolImpl(double t, double strike)
{
HestonProcess process = hestonModel_.link.process();
double df = process.riskFreeRate().link.discount(t, true);
double div = process.dividendYield().link.discount(t, true);
double spotPrice = process.s0().link.value();
double fwd = spotPrice
* process.dividendYield().link.discount(t, true)
/ process.riskFreeRate().link.discount(t, true);
var payoff = new PlainVanillaPayoff(fwd > strike ? Option.Type.Put : Option.Type.Call, strike);
double kappa = hestonModel_.link.kappa();
double theta = hestonModel_.link.theta();
double rho = hestonModel_.link.rho();
double sigma = hestonModel_.link.sigma();
double v0 = hestonModel_.link.v0();
AnalyticHestonEngine.ComplexLogFormula cpxLogFormula = AnalyticHestonEngine.ComplexLogFormula.Gatheral;
AnalyticHestonEngine hestonEnginePtr = null;
double?npv = null;
int evaluations = 0;
AnalyticHestonEngine.doCalculation(
df, div, spotPrice, strike, t,
kappa, theta, sigma, v0, rho,
payoff, integration_, cpxLogFormula,
hestonEnginePtr, ref npv, ref evaluations);
if (npv <= 0.0)
{
return(Math.Sqrt(theta));
}
Brent solver = new Brent();
solver.setMaxEvaluations(10000);
double guess = Math.Sqrt(theta);
double accuracy = Const.QL_EPSILON;
var f = new ImpliedVolHelper(payoff.optionType(), strike, fwd, t, df, npv.Value);
return(solver.solve(f, accuracy, guess, 0.01));
}
