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));
}
//@}
//! \name Calculations
//@{
//! returns the Black implied forward yield volatility
/*! the forward yield volatility, see Hull, Fourth Edition,
* Chapter 20, pg 536). Relevant only to European put/call
* schedules
*/
public double impliedVolatility(double targetValue,
Handle <YieldTermStructure> discountCurve,
double accuracy,
int maxEvaluations,
double minVol,
double maxVol)
{
calculate();
Utils.QL_REQUIRE(!isExpired(), () => "instrument expired");
double guess = 0.5 * (minVol + maxVol);
blackDiscountCurve_.linkTo(discountCurve, false);
ImpliedVolHelper f = new ImpliedVolHelper(this, targetValue);
Brent solver = new Brent();
solver.setMaxEvaluations(maxEvaluations);
return(solver.solve(f, accuracy, guess, minVol, maxVol));
}
public double impliedVolatility(
double targetValue,
Handle <YieldTermStructure> discountCurve,
double guess,
double accuracy,
int maxEvaluations,
double minVol,
double maxVol)
{
calculate();
if (isExpired())
{
throw new ArgumentException("instrument expired");
}
ImpliedVolHelper f = new ImpliedVolHelper(this, discountCurve, targetValue);
//Brent solver;
NewtonSafe solver = new NewtonSafe();
solver.setMaxEvaluations(maxEvaluations);
return(solver.solve(f, accuracy, guess, minVol, maxVol));
//return 0;
}
