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implieds.cpp

// RQuantLib -- R interface to the QuantLib libraries
//
// Copyright 2002-2006 Dirk Eddelbuettel <edd@debian.org>
//
// $Id: implieds.cpp,v 1.13 2006/07/22 14:17:28 dsamperi Exp $
//
// This file is part of the RQuantLib library for GNU R.
// It is made available under the terms of the GNU General Public
// License, version 2, or at your option, any later version,
// incorporated herein by reference.
//
// This program is distributed in the hope that it will be
// useful, but WITHOUT ANY WARRANTY; without even the implied
// warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR
// PURPOSE.  See the GNU General Public License for more
// details.
//
// You should have received a copy of the GNU General Public
// License along with this program; if not, write to the Free
// Software Foundation, Inc., 59 Temple Place - Suite 330, Boston,
// MA 02111-1307, USA

// NB can be build standalone as   PKG_LIBS=-lQuantLib R CMD SHLIB implieds.cc

#include "rquantlib.hpp"

RcppExport  SEXP QL_EuropeanOptionImpliedVolatility(SEXP optionParameters) {
  const Size maxEvaluations = 100;
  const double tolerance = 1.0e-6;

  SEXP rl=R_NilValue;
  char* exceptionMesg=NULL;
  
  try {

    RcppParams rparam(optionParameters);        // Parameter wrapper class

    string type = rparam.getStringValue("type");
    double value = rparam.getDoubleValue("value");
    double underlying = rparam.getDoubleValue("underlying");
    double strike = rparam.getDoubleValue("strike");
    Spread dividendYield = rparam.getDoubleValue("dividendYield");
    Rate riskFreeRate = rparam.getDoubleValue("riskFreeRate");
    Time maturity = rparam.getDoubleValue("maturity");
    int length = int(maturity*360 + 0.5); // FIXME: this could be better
    double volatility = rparam.getDoubleValue("volatility");

    Option::Type optionType=Option::Call;
    if (type=="call") {
      optionType = Option::Call;
    } else if (type=="put") {
      optionType = Option::Put;
    } else {
      throw std::range_error("Unknown option " + type);
    }

    Date today = Date::todaysDate();

    // new framework as per QuantLib 0.3.5
    // updated for 0.3.7
    DayCounter dc = Actual360();

    boost::shared_ptr<SimpleQuote> spot(new SimpleQuote(0.0));
    spot->setValue(underlying);
    boost::shared_ptr<SimpleQuote> vol(new SimpleQuote(0.0));
    boost::shared_ptr<BlackVolTermStructure> volTS = 
      makeFlatVolatility(today, vol, dc);
    boost::shared_ptr<SimpleQuote> qRate(new SimpleQuote(0.0));
    qRate->setValue(dividendYield);
    boost::shared_ptr<YieldTermStructure> qTS = makeFlatCurve(today,qRate,dc);
    boost::shared_ptr<SimpleQuote> rRate(new SimpleQuote(0.0));
    rRate->setValue(riskFreeRate);
    boost::shared_ptr<YieldTermStructure> rTS = makeFlatCurve(today,rRate,dc);
    Date exDate = today + length;
    boost::shared_ptr<Exercise> exercise(new EuropeanExercise(exDate));
    boost::shared_ptr<StrikedTypePayoff> 
      payoff(new PlainVanillaPayoff(optionType, strike));
    double implVol = 0.0; // just to remove a warning...
    boost::shared_ptr<VanillaOption> option = 
      makeOption(payoff, exercise, spot, qTS, rTS, volTS, 
             Analytic, Null<Size>(), Null<Size>());

    double volguess = volatility;
    vol->setValue(volguess);

    implVol = option->impliedVolatility(value, tolerance, maxEvaluations);

    RcppResultSet rs;
    rs.add("impliedVol", implVol);
    rs.add("parameters", optionParameters, false);
    rl = rs.getReturnList();

  } catch(std::exception& ex) {
    exceptionMesg = copyMessageToR(ex.what());
  } catch(...) {
    exceptionMesg = copyMessageToR("unknown reason");
  }
  if(exceptionMesg != NULL)
    error(exceptionMesg);
    
  return rl;
}

RcppExport  SEXP QL_AmericanOptionImpliedVolatility(SEXP optionParameters) {
  const Size maxEvaluations = 100;
  const double tolerance = 1.0e-6;

  SEXP rl=R_NilValue;
  char* exceptionMesg=NULL;
  
  try {

    RcppParams rparam(optionParameters);        // Parameter wrapper class

    string type = rparam.getStringValue("type");
    double value = rparam.getDoubleValue("value");
    double underlying = rparam.getDoubleValue("underlying");
    double strike = rparam.getDoubleValue("strike");
    Spread dividendYield = rparam.getDoubleValue("dividendYield");
    Rate riskFreeRate = rparam.getDoubleValue("riskFreeRate");
    Time maturity = rparam.getDoubleValue("maturity");
    int length = int(maturity*360 + 0.5); // FIXME: this could be better
    double volguess = rparam.getDoubleValue("volatility");

    Option::Type optionType=Option::Call;
    if (type=="call") {
      optionType = Option::Call;
    } else if (type=="put") {
      optionType = Option::Put;
    } else {
      throw std::range_error("Unknown option " + type);
    }

    Date today = Date::todaysDate();

    // new framework as per QuantLib 0.3.5
    DayCounter dc = Actual360();
    boost::shared_ptr<SimpleQuote> spot(new SimpleQuote(0.0));
    boost::shared_ptr<SimpleQuote> vol(new SimpleQuote(0.0));
    boost::shared_ptr<BlackVolTermStructure> volTS = 
      makeFlatVolatility(today, vol,dc);
    boost::shared_ptr<SimpleQuote> qRate(new SimpleQuote(0.0));
    boost::shared_ptr<YieldTermStructure> qTS = makeFlatCurve(today,qRate,dc);
    boost::shared_ptr<SimpleQuote> rRate(new SimpleQuote(0.0));
    boost::shared_ptr<YieldTermStructure> rTS = makeFlatCurve(today,rRate,dc);

    Date exDate = today + length;
    //boost::shared_ptr<Exercise> exercise(new EuropeanExercise(exDate));
    boost::shared_ptr<Exercise> exercise(new AmericanExercise(today, exDate));
    boost::shared_ptr<StrikedTypePayoff> 
      payoff(new PlainVanillaPayoff(optionType, strike));
    boost::shared_ptr<VanillaOption> option = 
      makeOption(payoff, exercise, spot, qTS, rTS, volTS, JR);

    spot->setValue(underlying);
    qRate->setValue(dividendYield);
    rRate->setValue(riskFreeRate);
    vol->setValue(volguess);

    double implVol = 0.0; // just to remove a warning...
    implVol = option->impliedVolatility(value, tolerance, maxEvaluations);

    RcppResultSet rs;
    rs.add("impliedVol", implVol);
    rs.add("parameters", optionParameters, false);
    rl = rs.getReturnList();

  } catch(std::exception& ex) {
    exceptionMesg = copyMessageToR(ex.what());
  } catch(...) {
    exceptionMesg = copyMessageToR("unknown reason");
  }
  
  if(exceptionMesg != NULL)
    error(exceptionMesg);
    
  return rl;
}
 

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