Skip to content

Commit

Permalink
Added Collocating Local Volatility Model
Browse files Browse the repository at this point in the history
    L.A. Grzelak, 2016, The CLV Framework -
    A Fresh Look at Efficient Pricing with Smile
    http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2747541

    L.A. Grzelak, J.A.S. Witteveen, M.Suárez-Taboada, C.W. Oosterlee,
    The Stochastic Collocation Monte Carlo Sampler: Highly efficient
    sampling from “expensive” distributions
    http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2529691
    
resubmitted after clean-up of github fork
  • Loading branch information
klausspanderen committed Sep 18, 2016
1 parent 9618244 commit 57af110
Show file tree
Hide file tree
Showing 43 changed files with 2,053 additions and 44 deletions.
11 changes: 10 additions & 1 deletion QuantLib.vcxproj
Expand Up @@ -142,7 +142,7 @@
<InlineFunctionExpansion>AnySuitable</InlineFunctionExpansion>
<IntrinsicFunctions>false</IntrinsicFunctions>
<FavorSizeOrSpeed>Speed</FavorSizeOrSpeed>
<AdditionalIncludeDirectories>.;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>
<AdditionalIncludeDirectories>C:\Program Files\boost\boost_1_61_0;.;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>
<PreprocessorDefinitions>NDEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;%(PreprocessorDefinitions)</PreprocessorDefinitions>
<StringPooling>true</StringPooling>
<RuntimeLibrary>MultiThreadedDLL</RuntimeLibrary>
Expand Down Expand Up @@ -490,19 +490,22 @@
<ClInclude Include="ql\experimental\finitedifferences\bsmrndcalculator.hpp" />
<ClInclude Include="ql\experimental\finitedifferences\fdmhestongreensfct.hpp" />
<ClInclude Include="ql\experimental\finitedifferences\fdmlocalvolfwdop.hpp" />
<ClInclude Include="ql\experimental\finitedifferences\fdornsteinuhlenbeckvanillaengine.hpp" />
<ClInclude Include="ql\experimental\finitedifferences\hestonrndcalculator.hpp" />
<ClInclude Include="ql\experimental\finitedifferences\localvolrndcalculator.hpp" />
<ClInclude Include="ql\experimental\finitedifferences\riskneutraldensitycalculator.hpp" />
<ClInclude Include="ql\experimental\finitedifferences\squarerootprocessrndcalculator.hpp" />
<ClInclude Include="ql\experimental\models\all.hpp" />
<ClInclude Include="ql\experimental\models\hestonslvfdmmodel.hpp" />
<ClInclude Include="ql\experimental\models\hestonslvmcmodel.hpp" />
<ClInclude Include="ql\experimental\models\normalclvmodel.hpp" />
<ClInclude Include="ql\indexes\ibor\aonia.hpp" />
<ClInclude Include="ql\indexes\ibor\bbsw.hpp" />
<ClInclude Include="ql\indexes\ibor\bkbm.hpp" />
<ClInclude Include="ql\indexes\ibor\nzocr.hpp" />
<ClInclude Include="ql\math\polynomialmathfunction.hpp" />
<ClInclude Include="ql\math\pascaltriangle.hpp" />
<ClInclude Include="ql\methods\finitedifferences\operators\fdmornsteinuhlenbeckop.hpp" />
<ClInclude Include="ql\rebatedexercise.hpp" />
<ClInclude Include="ql\experimental\finitedifferences\dynprogvppintrinsicvalueengine.hpp" />
<ClInclude Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.hpp" />
Expand Down Expand Up @@ -843,6 +846,7 @@
<ClInclude Include="ql\math\interpolations\interpolation2d.hpp" />
<ClInclude Include="ql\math\interpolations\kernelinterpolation.hpp" />
<ClInclude Include="ql\math\interpolations\kernelinterpolation2d.hpp" />
<ClInclude Include="ql\math\interpolations\lagrangeinterpolation.hpp" />
<ClInclude Include="ql\math\interpolations\linearinterpolation.hpp" />
<ClInclude Include="ql\math\interpolations\loginterpolation.hpp" />
<ClInclude Include="ql\math\interpolations\mixedinterpolation.hpp" />
Expand Down Expand Up @@ -910,6 +914,7 @@
<ClInclude Include="ql\math\randomnumbers\rngtraits.hpp" />
<ClInclude Include="ql\math\randomnumbers\seedgenerator.hpp" />
<ClInclude Include="ql\math\randomnumbers\sobolrsg.hpp" />
<ClInclude Include="ql\math\randomnumbers\stochasticcollocationinvcdf.hpp" />
<ClInclude Include="ql\math\solvers1d\all.hpp" />
<ClInclude Include="ql\math\solvers1d\bisection.hpp" />
<ClInclude Include="ql\math\solvers1d\brent.hpp" />
Expand Down Expand Up @@ -1770,14 +1775,17 @@
<ClCompile Include="ql\experimental\finitedifferences\bsmrndcalculator.cpp" />
<ClCompile Include="ql\experimental\finitedifferences\fdmhestongreensfct.cpp" />
<ClCompile Include="ql\experimental\finitedifferences\fdmlocalvolfwdop.cpp" />
<ClCompile Include="ql\experimental\finitedifferences\fdornsteinuhlenbeckvanillaengine.cpp" />
<ClCompile Include="ql\experimental\finitedifferences\hestonrndcalculator.cpp" />
<ClCompile Include="ql\experimental\finitedifferences\localvolrndcalculator.cpp" />
<ClCompile Include="ql\experimental\finitedifferences\riskneutraldensitycalculator.cpp" />
<ClCompile Include="ql\experimental\finitedifferences\squarerootprocessrndcalculator.cpp" />
<ClCompile Include="ql\experimental\models\hestonslvfdmmodel.cpp" />
<ClCompile Include="ql\experimental\models\hestonslvmcmodel.cpp" />
<ClCompile Include="ql\experimental\models\normalclvmodel.cpp" />
<ClCompile Include="ql\math\polynomialmathfunction.cpp" />
<ClCompile Include="ql\math\pascaltriangle.cpp" />
<ClCompile Include="ql\methods\finitedifferences\operators\fdmornsteinuhlenbeckop.cpp" />
<ClCompile Include="ql\patterns\observable.cpp" />
<ClCompile Include="ql\rebatedexercise.cpp" />
<ClInclude Include="ql\experimental\finitedifferences\all.hpp" />
Expand Down Expand Up @@ -2031,6 +2039,7 @@
<ClCompile Include="ql\math\randomnumbers\primitivepolynomials.cpp" />
<ClCompile Include="ql\math\randomnumbers\seedgenerator.cpp" />
<ClCompile Include="ql\math\randomnumbers\sobolrsg.cpp" />
<ClCompile Include="ql\math\randomnumbers\stochasticcollocationinvcdf.cpp" />
<ClCompile Include="ql\math\optimization\armijo.cpp" />
<ClCompile Include="ql\math\optimization\bfgs.cpp" />
<ClCompile Include="ql\math\optimization\conjugategradient.cpp" />
Expand Down
29 changes: 28 additions & 1 deletion QuantLib.vcxproj.filters
Expand Up @@ -984,6 +984,9 @@
<ClInclude Include="ql\math\interpolations\linearinterpolation.hpp">
<Filter>math\interpolations</Filter>
</ClInclude>
<ClInclude Include="ql\math\interpolations\lagrangeinterpolation.hpp">
<Filter>math\interpolations</Filter>
</ClInclude>
<ClInclude Include="ql\math\interpolations\loginterpolation.hpp">
<Filter>math\interpolations</Filter>
</ClInclude>
Expand Down Expand Up @@ -1182,6 +1185,9 @@
<ClInclude Include="ql\math\randomnumbers\sobolrsg.hpp">
<Filter>math\randomnumbers</Filter>
</ClInclude>
<ClInclude Include="ql\math\randomnumbers\stochasticcollocationinvcdf.hpp">
<Filter>math\randomnumbers</Filter>
</ClInclude>
<ClInclude Include="ql\math\solvers1d\all.hpp">
<Filter>math\solvers1D</Filter>
</ClInclude>
Expand Down Expand Up @@ -4039,6 +4045,9 @@
<ClInclude Include="ql\experimental\models\hestonslvmcmodel.hpp">
<Filter>experimental\models</Filter>
</ClInclude>
<ClInclude Include="ql\experimental\models\normalclvmodel.hpp">
<Filter>experimental\models</Filter>
</ClInclude>
<ClInclude Include="ql\termstructures\volatility\equityfx\fixedlocalvolsurface.hpp">
<Filter>termstructures\volatility\equityfx</Filter>
</ClInclude>
Expand All @@ -4048,6 +4057,9 @@
<ClInclude Include="ql\experimental\finitedifferences\fdmlocalvolfwdop.hpp">
<Filter>experimental\finitedifferences</Filter>
</ClInclude>
<ClInclude Include="ql\experimental\finitedifferences\fdornsteinuhlenbeckvanillaengine.hpp">
<Filter>experimental\finitedifferences</Filter>
</ClInclude>
<ClInclude Include="ql\termstructures\volatility\equityfx\noexceptlocalvolsurface.hpp">
<Filter>termstructures\volatility\equityfx</Filter>
</ClInclude>
Expand Down Expand Up @@ -4090,6 +4102,9 @@
<ClInclude Include="ql\termstructures\volatility\equityfx\hestonblackvolsurface.hpp">
<Filter>termstructures\volatility\equityfx</Filter>
</ClInclude>
<ClInclude Include="ql\methods\finitedifferences\operators\fdmornsteinuhlenbeckop.hpp">
<Filter>methods\finitedifferences\operators</Filter>
</ClInclude>
<ClInclude Include="ql\indexes\ibor\aonia.hpp">
<Filter>indexes\ibor</Filter>
</ClInclude>
Expand Down Expand Up @@ -4569,6 +4584,9 @@
<ClCompile Include="ql\math\randomnumbers\sobolrsg.cpp">
<Filter>math\randomnumbers</Filter>
</ClCompile>
<ClCompile Include="ql\math\randomnumbers\stochasticcollocationinvcdf.cpp">
<Filter>math\randomnumbers</Filter>
</ClCompile>
<ClCompile Include="ql\math\optimization\armijo.cpp">
<Filter>math\optimization</Filter>
</ClCompile>
Expand Down Expand Up @@ -6566,6 +6584,9 @@
<ClCompile Include="ql\experimental\finitedifferences\squarerootprocessrndcalculator.cpp">
<Filter>experimental\finitedifferences</Filter>
</ClCompile>
<ClCompile Include="ql\experimental\finitedifferences\fdornsteinuhlenbeckvanillaengine.cpp">
<Filter>experimental\finitedifferences</Filter>
</ClCompile>
<ClCompile Include="ql\experimental\models\hestonslvfdmmodel.cpp">
<Filter>experimental\models</Filter>
</ClCompile>
Expand Down Expand Up @@ -6611,5 +6632,11 @@
<ClCompile Include="ql\experimental\math\particleswarmoptimization.cpp">
<Filter>experimental\math</Filter>
</ClCompile>
<ClCompile Include="ql\experimental\models\normalclvmodel.cpp">
<Filter>experimental\models</Filter>
</ClCompile>
<ClCompile Include="ql\methods\finitedifferences\operators\fdmornsteinuhlenbeckop.cpp">
<Filter>methods\finitedifferences\operators</Filter>
</ClCompile>
</ItemGroup>
</Project>
</Project>

0 comments on commit 57af110

Please sign in to comment.