#source("RP.smile.R")


source("BlackScholesFormula.R")
source("RP.SVJ.R")

n.paths<-10^4 
n.obspoints<-126
n.euler<-5

spot<-100
strike<-110
timetomat<-0.25

R<-0.02

V<-0.04
kappa.V<-2.03
theta.V<-0.04
sigma.V<-0.38
rho<--0.57

mu.J<--0.09
sigma.J<-0.14
lambda<-0.5



putfwdmoneyness<-impvol<-matrix(0,nrow=4,ncol=31)

for(j in 1:4){
for (i in 0:30)  {

putfwdmoneyness[j,i+1]<-((85+i)*exp(R*timetomat*(j/4)) -spot)/spot
callprice<-RP.SVJcall(spot,(85+i),timetomat*(j/4),R,V,kappa.V,theta.V,sigma.V,rho,mu.J,sigma.J,lambda)
impvol[j,i+1]<-BlackScholesImpVol (callprice,spot,timetomat*(j/4),(85+i),R,q=0,opttype=
1)
}
}

plot(putfwdmoneyness[1,], impvol[1,], type='l', lty=1)
points(putfwdmoneyness[2,], impvol[2,], type='l', lty=2)
points(putfwdmoneyness[3,], impvol[3,], type='l', lty=3)
points(putfwdmoneyness[4,], impvol[4,], type='l', lty=4)


histvol<-sqrt(V+lambda*(mu.J^2+(1+mu.J)^2*(exp(sigma.J^2)-1)))
abline(h=histvol,lty=2)