http://quantlib.414.s1.nabble.com/Volatility-Surface-Interpolation-tp5741p5743.html
You should check with your source of volatility quotes.
> thanks Bojan!!
>
> For the example matrix use this:
>
> Settlement date: 39482
>
> strikes: dates:
> ------------------------------
> 130 39493
> 140 39528
> 150 39556
> 160 39619
> 165 39710
> 170 39801
> 175 39983
> 180 40165
> 185
> 190
> 195
> 200
> 210
> 220
>
> dates in years:
> --------------------------------
> 0,0305555555555555
> 0,0305555555555555
> 0,127777777777777
> 0,205555555555555
> 0,380555555555555
> 0,633333333333333
> 0,886111111111111
> 1,39166666666666
> 1,89722222222222
>
>
> On Feb 4, 2008 12:39 PM, Sebastián Miranda
> <
[hidden email]> wrote:
>> Hello,
>>
>> I'm trying to interpolate time/strike dependent volatilities using the
>> BlackVarianceTermStructure.
>>
>> I interpolate every term smile to get the volatility matrix and then
>> interpolate that matrix to get volatilities at given standard times.
>>
>> But, when I call the constructor, I get the error:
>>
>> QL_REQUIRE(variances_[i][j]>=variances_[i][j-1],
>> "variance must be non-decreasing");
>>
>> Any ideas about where's the error????
>>
>> Tankx !!!!
>>
>> Sebastián
>>
>> ============================================================================
>> ==
>> Example Volatility Matrix:
>>
>> 0,7335 0,4989 0,3775 0,3467 0,3305 0,3342 0,5698 0,5814
>> 0,6635 0,4404 0,3730 0,3324 0,3271 0,3275 0,5407 0,5463
>> 0,5853 0,3983 0,3685 0,3217 0,3237 0,3239 0,5098 0,5138
>> 0,4948 0,3855 0,3613 0,3225 0,3203 0,3196 0,4770 0,4899
>> 0,4187 0,3604 0,3448 0,3188 0,3172 0,3175 0,4466 0,4382
>> 0,4298 0,3545 0,3428 0,3150 0,3140 0,3154 0,4140 0,3796
>> 0,3915 0,3456 0,3225 0,3135 0,3109 0,3115 0,3785 0,3712
>> 0,3571 0,3365 0,3143 0,3119 0,3077 0,3076 0,3394 0,3626
>> 0,4132 0,3206 0,2915 0,3083 0,3059 0,3030 0,3148 0,3401
>> 0,3823 0,3169 0,2873 0,3046 0,3040 0,2983 0,2882 0,3160
>> 0,3749 0,3170 0,2870 0,3008 0,2994 0,2921 0,2588 0,2900
>> 0,3245 0,3183 0,2866 0,2970 0,2948 0,2857 0,2256 0,2613
>> 0,4503 0,3375 0,2860 0,2939 0,2862 0,2815 0,2063 0,2472
>> 0,5691 0,3396 0,2853 0,2906 0,2774 0,2772 0,1849 0,2323
>>
>>
>> ============================================================================
>> ==
>> The code:
>>
>> void cargarBBDD( vector< MaturitySmileData > ACUMULADOR ){
>> // ==============================================================
>> // FECHA INICIAL DEL CALCULO -> Atentos a los históricos
>> Date fechaINICIAL = ACUMULADOR[0].subyacente.settlementDate;
>> // Date fechaINICIAL = Date::todaysDate();
>> // ==============================================================
>> typedef map<double, double> Smile;
>> typedef map<double,double>::iterator Iterador;
>> const unsigned int numVenc = ACUMULADOR.size();
>> std::vector<Date> maturities(numVenc);
>> // Monto set ordenado con todos los strikes.
>> std::set< double > strikesSet;
>> std::vector< Smile > Smiles;
>> for ( unsigned int i = 0; i < numVenc ; i++){
>> Smile tmpSmile__;
>> Iterador iterSmile;
>> Iterador iter_;
>> iter_ = ACUMULADOR[i].callSmile.begin();
>> while (iter_ != ACUMULADOR[i].callSmile.end() ){
>> strikesSet.insert( iter_->first );
>> tmpSmile__.insert( *iter_ );
>> iter_++;
>> }
>> iter_ = ACUMULADOR[i].putSmile.begin();
>> while (iter_ != ACUMULADOR[i].putSmile.end() ){
>> strikesSet.insert( iter_->first );
>> iterSmile = tmpSmile__.find( iter_->first );
>> if (iterSmile == tmpSmile__.end() ){
>> tmpSmile__.insert( *iter_ ) ;
>> } else{ //! Si ya tenemos este strike para las Calls,
>> promediamos ambos.
>> if( fabs(iter_->second - iterSmile->second)
>> > 0.02) {
>> string MegError = "Error promediando curva -> ";
>> MegError += "RIC: " +
>> ACUMULADOR[i].subyacente.RIC + "\t Vencimiento. "+ ACUMULADOR[i].vencimiento ;
>> MegError += "\n Vol. Call:\t" +
>> boost::lexical_cast<std::string>( (*iterSmile).second );
>> MegError += "\n Vol. Put:\t" +
>> boost::lexical_cast<std::string>( (*iter_).second );
>> MegError += "\n
>> --------------------------------";
>> MegError += "\n DIFERENCIA:\t" +
>> boost::lexical_cast<std::string>(fabs((*iter_).second - (*iterSmile).second) );
>> VOLCAR_LOG( MegError );
>> }
>> iterSmile->second = ((*iter_).second +
>> (*iterSmile).second) / 2;
>> }
>> iter_++;
>> }// end while
>> Smiles.push_back(tmpSmile__);
>> }; // end for numVenc
>> const unsigned int numStrikes = strikesSet.size();
>> vector< double> strikes( strikesSet.begin(), strikesSet.end());
>> Matrix volatilidades( numStrikes, numVenc );
>> for ( unsigned int i = 0; i < numVenc ; i++){
>> maturities[i] = ACUMULADOR[i].maturity;
>> Iterador iter_;
>> // Si no tiene todos los strikes, interpolamos.
>> if ( Smiles[i].size() < numStrikes ){
>>
>> const unsigned int s_ = Smiles[i].size();
>> Matrix vols_( s_ , 1);
>> std::vector<Date> dates_(1);
>> dates_[0] = ACUMULADOR[i].maturity;
>> // Cargo las volas
>> iter_ = Smiles[i].begin();
>> vector< double> strikesTMP;
>> int j = 0;
>> while ( iter_ != Smiles[i].end() ){
>> strikesTMP.push_back( (*iter_).first ) ;
>> vols_[j][0] = (*iter_).second ; j++;
>> iter_++;
>> };
>> // Montamos el Smile con lo que tenemos y lo interpolamos.
>> boost::shared_ptr<BlackVolTermStructure>
>> curvaVolas(new
>> BlackVarianceSurface( fechaINICIAL, dates_,
>> strikesTMP, vols_, dayCounter ));
>> for (unsigned int j = 0 ; j < numStrikes ; j++){
>> volatilidades[j][i] =
>> curvaVolas->blackVol(fechaINICIAL, strikes[j] , true );
>> std::cout << "Vol " << j << " " << i << "\t"
>> << volatilidades[j][i] << "\n";
>> };
>> /*
>> set< double >::iterator itrK_ ;
>> itrK_ = strikesSet.begin();
>> int indx_ = 0;
>> while ( itrK_ != strikesSet.end() ){
>> volatilidades[indx_][i] =
>> curvaVolas->blackVol(fechaINICIAL, *itrK_ , true );
>> indx_++;
>> itrK_++;
>> };*/
>>
>> } else{ // Si tiene todos los strikes, no necesitamos interpolar nada.
>> iter_ = Smiles[i].begin();
>> int j = 0;
>> while ( iter_ != Smiles[i].end() ){
>> volatilidades[j][i] = (*iter_).second ;
>> std::cout << "Vol " << j << " " << i << "\t" <<
>> volatilidades[j][i] << "\n";
>> j++; iter_++; };
>> };
>>
>> };
>>
>> // Volatility Surface
>> // HERE IS THE PROBLEM
>> *********************************************************
>> boost::shared_ptr<BlackVolTermStructure> SupVolatilidad(new
>> BlackVarianceSurface( fechaINICIAL, maturities, strikes,
>> volatilidades, dayCounter ));
>> // HERE IS THE PROBLEM
>> *********************************************************
>>
>> // Interpolamos
>> const int numStrikesSTD = 13;
>> const int numTermsSTD = 8;
>> double strikesSTD[] = { 0.8,
>>
>> 0.85,
>>
>> 0.9,
>>
>> 0.95,
>>
>> 0.975,
>>
>> 0.9875,
>>
>> 1.0,
>>
>> 1.0125,
>>
>> 1.025,
>>
>> 1.05,
>>
>> 1.1,
>>
>> 1.15,
>>
>> 1.2 };
>> Date termsSTD[] = {fechaINICIAL +
>> 1*Months,
>>
>> fechaINICIAL + 3*Months,
>>
>> fechaINICIAL + 6*Months,
>>
>> fechaINICIAL + 1*Years,
>>
>> fechaINICIAL + 2*Years,
>>
>> fechaINICIAL + 3*Years,
>>
>> fechaINICIAL + 4*Years,
>>
>> fechaINICIAL + 5*Years };
>> // Superficie de Volatilidades interpolada.
>> double volasBBDD[numStrikesSTD][numTermsSTD];
>> for (unsigned int i = 0 ; i < numStrikesSTD ; i++){
>> double strike__ = strikesSTD[i] *
>> ACUMULADOR[0].subyacente.spot;
>> for (unsigned int j = 0 ; j < numTermsSTD ; j++){
>> volasBBDD[i][j] =
>> SupVolatilidad->blackVol(termsSTD[j], strike__ , true );
>> };
>> };
>> string dia =
>> boost::lexical_cast<std::string>(fechaINICIAL.dayOfMonth());
>> dia = ( dia.length() == 1 )? "0" + dia : dia ;
>> int mes__ = fechaINICIAL.month();
>> string mes = boost::lexical_cast<std::string>(mes__);
>> mes = ( mes.length() == 1 )? "0" + mes : mes ;
>> std::string query = "";
>> query += "INSERT INTO `advisory`.`tsupvolas` VALUES ";
>> for (unsigned int i = 0 ; i < numStrikesSTD ; i++){
>> query += "( " + ACUMULADOR[0].subyacente.ID + ",'" +
>> boost::lexical_cast<std::string>(fechaINICIAL.year());
>> query += mes + dia + "'," +
>> boost::lexical_cast<std::string>(strikesSTD[i]) + "," ;
>> query +=
>> boost::lexical_cast<std::string>(ACUMULADOR[0].subyacente.spot);
>> for (unsigned int j = 0 ; j < numTermsSTD ; j++){
>> query += "," +
>> boost::lexical_cast<std::string>(volasBBDD[i][j]);
>> };
>> query += ") ";
>> query += (i + 1 == numStrikesSTD)? "" : ",";
>> };
>> query += "; ";
>> // INSERTAMOS EN LA BBDD
>> res = consultaSQL(query);
>> //int filas = mysql_affected_rows();
>> //string staus= ( filas == numStrikesSTD)?
>> ACUMULADOR[0].subyacente.RIC + " insertado OK." :
>> ACUMULADOR[0].subyacente.RIC + " Error Inserción.";
>> mysql_free_result(res);
>> // boost::lexical_cast<std::string>
>> };
>>
>
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