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[Quantlib-dev] BDT, HJM models
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From: Krishna M. <kir...@gm...> - 2010-04-15 20:48:07
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Hi, Can I find BDT, HJM models in QuantLib. Could someone point me to files or examples. Thanks. Rgds Krishna On Thu, Apr 15, 2010 at 5:18 AM, Peter Caspers <pet...@ar...>wrote: > sorry, attachments were missing > > ----- Original Nachricht ---- > Von: Peter Caspers <pet...@ar...> > An: qua...@li... > Datum: 15.04.2010 10:10 > Betreff: Multicurve Swaption Volatility II > > Hi Luigi, Eric, > > I developed the things concerning the pricing of non quoted swaptions a bit > further and exported them to excel (based on the files in Eric's > prerelease). > > I noticed that the QuantLibAddin::SwapIndex always uses the > QuantLib::SwapIndex constructor _with_ the discount curve parameter. > Therefore you can not set up a swap index in excel without specifiying the > discount curve. I would expect instead that specifying no discount curve > leads to a QuantLib::SwapIndex where exogenousDiscount_ = false, especially > since the default value for the discount curve in the excel wizard is an > empty value. Therefore I propose to check in the QuantLibAddin constructor, > if the handle is empty and in this case invoke the QuantLib constructor > without discount curve. Then the exogenous_ flag will be set to false and > everything is fine. > > On the QuantLib side I introduced an enumeration which specifies the > conversion mode. There are four modes available now > > Pricing: Compute price w.r.t. quoted index atm, then compute implied > volatility w.r.t. non quoted index atm > Arithmetic: Use arithmetic mean of atm and strike to approximate normal > volatility > Geometric: Use geometric mean of atm and strike to approximate normal > volatility > Basispoint: Use atm to approximate normal volatility > > This replaces the old "exact" flag. > > Furthermore I changed the interface of nonQuotedIndexVolatility. The swap > index is now a boost::shared_ptr. As I understand it, this is more in line > with the excel export stuff. > > I attach the modified QuantLib files again. Below I insert the changes > concerning the export to excel. > > One more comment on the project file: I use QuantLibAddin_vc9.sln with MSVC > 2008. When I generate the xll and try to register it in excel I get an error > message (not a valid addin). I have to set "generate manifest" to yes in > order to get a valid xll. This should be changed in the project file > therefore, I think. > > Thank you, best regards > Peter > > types: > > <DataType > defaultSuperType='enumeration'>QuantLib::SwaptionVolatilityCube::NormalConversion</DataType> > > enumeratedtypes: > > <EnumeratedTypeGroup > type='QuantLib::SwaptionVolatilityCube::NormalConversion'> > <includeFile>oh/enumerations/typefactory.hpp</includeFile> > <constructor>true</constructor> > <EnumeratedTypes> > <EnumeratedType> > <string>Pricing</string> > <value>QuantLib::SwaptionVolatilityCube::Pricing</value> > </EnumeratedType> > <EnumeratedType> > <string>Arithmetic</string> > <value>QuantLib::SwaptionVolatilityCube::Arithmetic</value> > </EnumeratedType> > <EnumeratedType> > <string>Geometric</string> > <value>QuantLib::SwaptionVolatilityCube::Geometric</value> > </EnumeratedType> > <EnumeratedType> > <string>Basispoint</string> > <value>QuantLib::SwaptionVolatilityCube::Basispoint</value> > </EnumeratedType> > </EnumeratedTypes> > </EnumeratedTypeGroup> > > swaptionvolstructure: > > <Member name='qlSwaptionVTSNonQuotedIndexVolatility' > type='QuantLib::SwaptionVolatilityCube' superType='libraryTermStructure'> > <description>returns a lognormal volatility for a non quoted index via > normal conversion</description> > <libraryFunction>nonQuotedIndexVolatility</libraryFunction> > <SupportedPlatforms> > <SupportedPlatform name='Excel'/> > <!--SupportedPlatform name='Cpp'/--> > </SupportedPlatforms> > <ParameterList> > <Parameters> > <Parameter name='OptionDate'> > <type>QuantLib::Date</type> > <tensorRank>scalar</tensorRank> > <description>Option Date</description> > </Parameter> > <Parameter name='SwapIndex' superType='objectClass'> > <type>QuantLib::SwapIndex</type> > <tensorRank>scalar</tensorRank> > <description>Underlying Swap Index</description> > </Parameter> > <Parameter name='Strike'> > <type>double</type> > <tensorRank>scalar</tensorRank> > <description>Strike</description> > </Parameter> > <Parameter name='Extrapolate' default='false'> > <type>bool</type> > <tensorRank>scalar</tensorRank> > <description>Extrapolate</description> > </Parameter> > <Parameter name='Conversion' default='"Arithmetic"'> > <type>QuantLib::SwaptionVolatilityCube::NormalConversion</type> > <tensorRank>scalar</tensorRank> > <description>Pricing, Arithmetic, Geometric, > Basispoint</description> > </Parameter> > <Parameter name='FallBackConversion' default='"Arithmetic"'> > <type>QuantLib::SwaptionVolatilityCube::NormalConversion</type> > <tensorRank>scalar</tensorRank> > <description>This conversion is used if Pricing > fails</description> > </Parameter> > </Parameters> > </ParameterList> > <ReturnValue> > <type>double</type> > <tensorRank>scalar</tensorRank> > </ReturnValue> > </Member> > > stub.enum.types: > > #include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp> > > > > ----- Original Nachricht ---- > Von: Peter Caspers <pet...@ar...> > An: qua...@li... > Datum: 26.03.2010 17:18 > Betreff: Multicurve Swaption Volatility > > Hi, > > I am interested in computing swaption (and also cap) volatilities for non > quoted indices e.g. the volatility for a 2y/5y swaption with the underlying > swap being vs. 3M Euribor. The quoted volatility for this swaption is vs. 6M > Euribor. The market converts this volatility using a normal black76 model > which is level independent contrary to the lognormal standard model. > > As far as I can see QuantLib 1.0 supports the separation of discounting and > forwarding curves for curve bootstrapping and swap index estimation. > > However, both swaption and cap volatility classes seem to need adjustments. > I started to do some things about swaption volatilities and would be happy > to contribute them to the project. I attach the modified source files. The > modifications are marked with a comment which reads // PC. Perhaps the > people who wrote the classes can have a look at the code and see if > something like that can be introduced in future versions. > > 1. The ATM swaption class SwaptionVolatilityMatrix does not know anything > about absolute rate levels. So it would probably be a great effort to do > something here. I left this class unchanged and concentrated on the cube > classes solely. > > 2. The first adjustment I did is to add a method discountingTermStructure() > to the class SwapIndex. In case the index has an exogeneous discount curve, > this is returned, otherwise an empty Handle. > > 3. The next adjustment is in the class SwaptionVolatilityCube. The > atmStrike() method does not work for swap indices with exogeneous discount > curve. I did the necessary modifications to take this into account. The > interface of the method does not need to be changed. > > 4. It seems hard to me to extend the existing volatility methods in order > to return volatilities for non quoted indices. Instead I added a method > nonQuotedIndexVolatility() to compute a (lognormal) volatility for a non > quoted index. It should work together with all extensions (SABR, bilinear) > of the base cube class. There is an approximated mode (exact = false which > is also the default) and an exact mode (exact = true) implemented. The > approximation is due to Kazuhiro Iwasawa , "Analytic Formula for the > European Normal Black Scholes Formula", Section 3. > > If I can do anything else to push this forward, please let me know, I am > not so much into the development processes of this project yet... > > Thank you, best regards > Peter > > > ------------------------------------------------------------------------------ > Download Intel® Parallel Studio Eval > Try the new software tools for yourself. Speed compiling, find bugs > proactively, and fine-tune applications for parallel performance. > See why Intel Parallel Studio got high marks during beta. > http://p.sf.net/sfu/intel-sw-dev > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > |
