public static double calculate(Instrument instrument, IPricingEngine engine, SimpleQuote volQuote, double targetValue, double accuracy, int maxEvaluations, double minVol, double maxVol)
{
instrument.setupArguments(engine.getArguments());
engine.getArguments().validate();
PriceError f = new PriceError(engine, volQuote, targetValue);
Brent solver = new Brent();
solver.setMaxEvaluations(maxEvaluations);
double guess = (minVol + maxVol) / 2.0;
double result = solver.solve(f, accuracy, guess, minVol, maxVol);
return result;
}
public static double calculate(Instrument instrument, IPricingEngine engine, SimpleQuote volQuote, double targetValue, double accuracy, int maxEvaluations, double minVol, double maxVol)
{
instrument.setupArguments(engine.getArguments());
engine.getArguments().validate();
PriceError f = new PriceError(engine, volQuote, targetValue);
Brent solver = new Brent();
solver.setMaxEvaluations(maxEvaluations);
double guess = (minVol + maxVol) / 2.0;
double result = solver.solve(f, accuracy, guess, minVol, maxVol);
return(result);
}
public ImpliedVolHelper(CapFloor cap,
Handle <YieldTermStructure> discountCurve,
double targetValue,
double displacement,
VolatilityType type)
{
discountCurve_ = discountCurve;
targetValue_ = targetValue;
vol_ = new SimpleQuote(-1.0);
Handle <Quote> h = new Handle <Quote>(vol_);
switch (type)
{
case VolatilityType.ShiftedLognormal:
engine_ = (IPricingEngine) new BlackCapFloorEngine(discountCurve_, h, new Actual365Fixed(), displacement);
break;
case VolatilityType.Normal:
engine_ = (IPricingEngine) new BachelierCapFloorEngine(discountCurve_, h, new Actual365Fixed());
break;
default:
Utils.QL_FAIL("unknown VolatilityType (" + type.ToString() + ")");
break;
}
cap.setupArguments(engine_.getArguments());
results_ = engine_.getResults() as Instrument.Results;
}
public ImpliedVolHelper_(Swaption swaption,
Handle <YieldTermStructure> discountCurve,
double targetValue,
double?displacement = 0.0,
VolatilityType type = VolatilityType.ShiftedLognormal)
{
discountCurve_ = discountCurve;
targetValue_ = targetValue;
// set an implausible value, so that calculation is forced
// at first ImpliedVolHelper::operator()(Volatility x) call
vol_ = new SimpleQuote(-1.0);
Handle <Quote> h = new Handle <Quote>(vol_);
switch (type)
{
case VolatilityType.ShiftedLognormal:
engine_ = new BlackSwaptionEngine(discountCurve_, h, new Actual365Fixed(), displacement);
break;
case VolatilityType.Normal:
engine_ = new BachelierSwaptionEngine(discountCurve_, h, new Actual365Fixed());
break;
default:
Utils.QL_FAIL("unknown VolatilityType (" + type.ToString() + ")");
break;
}
swaption.setupArguments(engine_.getArguments());
results_ = engine_.getResults() as Instrument.Results;
}
public ImpliedVolHelper(CapFloor cap, Handle <YieldTermStructure> discountCurve,
double targetValue)
{
discountCurve_ = discountCurve;
targetValue_ = targetValue;
vol_ = new SimpleQuote(-1.0);
Handle <Quote> h = new Handle <Quote>(vol_);
engine_ = (IPricingEngine) new BlackCapFloorEngine(discountCurve_, h);
cap.setupArguments(engine_.getArguments());
results_ = engine_.getResults() as Instrument.Results;
}
public SwaptionImpliedVolatilityHelper(Swaption swaption, Handle <YieldTermStructure> discountCurve, double targetValue)
{
discountCurve_ = discountCurve;
targetValue_ = targetValue;
// set an implausible value, so that calculation is forced
// at first ImpliedVolHelper::operator()(Volatility x) call
vol_ = new SimpleQuote(-1.0);
Handle <Quote> h = new Handle <Quote>(vol_);
engine_ = new BlackSwaptionEngine(discountCurve_, h);
swaption.setupArguments(engine_.getArguments());
results_ = engine_.getResults() as Results;
}
protected override double?controlVariateValue()
{
IPricingEngine controlPE = this.controlPricingEngine();
Utils.QL_REQUIRE(controlPE != null, () => "engine does not provide control variation pricing engine");
DiscreteAveragingAsianOption.Arguments controlArguments =
(DiscreteAveragingAsianOption.Arguments)controlPE.getArguments();
controlArguments = arguments_;
controlPE.calculate();
DiscreteAveragingAsianOption.Results controlResults =
(DiscreteAveragingAsianOption.Results)(controlPE.getResults());
return(controlResults.value);
}
protected override double?controlVariateValue()
{
IPricingEngine controlPE = controlPricingEngine();
Utils.QL_REQUIRE(controlPE != null, () => "engine does not provide control variation pricing engine");
VanillaOption.Arguments controlArguments = controlPE.getArguments() as VanillaOption.Arguments;
controlArguments = arguments_;
controlArguments.exercise = new EuropeanExercise(arguments_.exercise.lastDate());
controlPE.calculate();
VanillaOption.Results controlResults = controlPE.getResults() as VanillaOption.Results;
return(controlResults.value);
}
protected override double controlVariateValue()
{
IPricingEngine controlPE = controlPricingEngine();
if (controlPE == null)
{
throw new Exception("engine does not provide control variation pricing engine");
}
VanillaOption.Arguments controlArguments = controlPE.getArguments() as VanillaOption.Arguments;
controlArguments = arguments_;
controlArguments.exercise = new EuropeanExercise(arguments_.exercise.lastDate());
controlPE.calculate();
VanillaOption.Results controlResults = controlPE.getResults() as VanillaOption.Results;
return(controlResults.value.GetValueOrDefault());
}
protected override double controlVariateValue()
{
IPricingEngine controlPE = this.controlPricingEngine();
if (controlPE == null)
{
throw new ApplicationException("engine does not provide " +
"control variation pricing engine");
}
DiscreteAveragingAsianOption.Arguments controlArguments =
(DiscreteAveragingAsianOption.Arguments)controlPE.getArguments();
controlArguments = arguments_;
controlPE.calculate();
DiscreteAveragingAsianOption.Results controlResults =
(DiscreteAveragingAsianOption.Results)(controlPE.getResults());
return(controlResults.value.GetValueOrDefault());
}
