updated blackVol and hestonVol

nhaga · Jul 25, 2020 · c3308e9 · c3308e9
1 parent 531b082
commit c3308e9
Showing 1 changed file with 113 additions and 1 deletion.
diff --git a/docs/termstructures/volatility.rst b/docs/termstructures/volatility.rst
@@ -5,20 +5,132 @@ Volatility
 BlackConstantVol
 ****************
 
+.. function:: ql.BlackConstantVol(date, calendar, volatility, dayCounter)
+
+.. function:: ql.BlackConstantVol(date, calendar, volatilityHandle, dayCounter)
+
+.. function:: ql.BlackConstantVol(days, calendar, volatility, dayCounter)
+
+.. function:: ql.BlackConstantVol(days, calendar, volatilityHandle, dayCounter)
+
+.. code-block:: python
+
+  date = ql.Date().todaysDate()
+  settlementDays = 2
+  calendar = ql.TARGET()
+  volatility = 0.2
+  volHandle = ql.QuoteHandle(ql.SimpleQuote(volatility))
+  dayCounter = ql.Actual360()
+
+  ql.BlackConstantVol(date, calendar, volatility, dayCounter)
+  ql.BlackConstantVol(date, calendar, volHandle, dayCounter)
+  ql.BlackConstantVol(settlementDays, calendar, volatility, dayCounter)
+  ql.BlackConstantVol(settlementDays, calendar, volHandle, dayCounter)
+
+
 BlackVarianceCurve
 ******************
 
+.. function:: ql.BlackVarianceCurve(referenceDate, expirations, volatilities, dayCounter)
+
+.. code-block:: python
+
+  referenceDate = ql.Date(30, 9, 2013)
+  expirations = [ql.Date(20, 12, 2013), ql.Date(17, 1, 2014), ql.Date(21, 3, 2014)]
+  volatilities = [.145, .156, .165]
+  volatilityCurve = ql.BlackVarianceCurve(referenceDate, expirations, volatilities, ql.Actual360())
+
 BlackVarianceSurface
 ********************
 
+.. function:: ql.BlackVarianceSurface(referenceDate, calendar, expirations, strikes, volMatrix, dayCounter)
+
+.. code-block:: python
+
+  referenceDate = ql.Date(30, 9, 2013)
+  ql.Settings.instance().evaluationDate = referenceDate;
+  calendar = ql.TARGET()
+  dayCounter = ql.ActualActual()
+
+  strikes = [1650.0, 1660.0, 1670.0]
+  expirations = [ql.Date(20, 12, 2013), ql.Date(17, 1, 2014), ql.Date(21, 3, 2014)]
+
+  volMatrix = ql.Matrix(len(strikes), len(expirations))
+
+  #1650 - Dec, Jan, Mar
+  volMatrix[0][0] = .15640; volMatrix[0][1] = .15433; volMatrix[0][2] = .16079;
+  #1660 - Dec, Jan, Mar
+  volMatrix[1][0] = .15343; volMatrix[1][1] = .15240; volMatrix[1][2] = .15804;
+  #1670 - Dec, Jan, Mar
+  volMatrix[2][0] = .15128; volMatrix[2][1] = .14888; volMatrix[2][2] = .15512;
+
+  volatilitySurface = ql.BlackVarianceSurface(
+      referenceDate,
+      calendar,
+      expirations,
+      strikes,
+      volMatrix,
+      dayCounter
+  )
+  volatilitySurface.enableExtrapolation()
+
 BlackVolTermStructureHandle
 ***************************
 
+.. function:: ql.BlackVolTermStructureHandle(blackVolTermStructure)
+
+.. code-block:: python
+
+  ql.BlackVolTermStructureHandle(constantVol)
+  ql.BlackVolTermStructureHandle(volatilityCurve)
+  ql.BlackVolTermStructureHandle(volatilitySurface)
+
+RelinkableBlackVolTermStructureHandle
+*************************************
+
+.. function:: ql.RelinkableBlackVolTermStructureHandle()
+
+.. function:: ql.RelinkableBlackVolTermStructureHandle(blackVolTermStructure)
+
+.. code-block:: python
+
+  blackTSHandle = ql.RelinkableBlackVolTermStructureHandle(volatilitySurface)
+
+  blackTSHandle = ql.RelinkableBlackVolTermStructureHandle()
+  blackTSHandle.linkTo(volatilitySurface)
+
+
+
+HestonBlackVolSurface
+*********************
+
+.. function:: ql.HestonBlackVolSurface(hestonModelHandle)
+
+.. code-block:: python
+
+  flat_ts = ql.YieldTermStructureHandle(
+    ql.FlatForward(ql.Date().todaysDate(), 0.05, ql.Actual365Fixed())
+  )
+  dividend_ts = ql.YieldTermStructureHandle(
+    ql.FlatForward(ql.Date().todaysDate(), 0.02, ql.Actual365Fixed())
+  )
+  v0 = 0.01; kappa = 0.01; theta = 0.01; rho = 0.0; sigma = 0.01
+  spot = 100
+  process = ql.HestonProcess(flat_ts, dividend_ts,
+                              ql.QuoteHandle(ql.SimpleQuote(spot)),
+                              v0, kappa, theta, sigma, rho
+                              )
+  heston_model = ql.HestonModel(process)
+  heston_handle = ql.HestonModelHandle(heston_model)
+  heston_vol_surface = ql.HestonBlackVolSurface(heston_handle)
+
+
 LocalConstantVol
 ****************
 
 LocalVolSurface
 ***************
 
 LocalVolTermStructureHandle
-***************************
+***************************
+