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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Ferdinando Ametrano
Copyright (C) 2006 Franois du Vignaud
Copyright (C) 2006 Katiuscia Manzoni
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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 license for more details.
*/
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/quotes/simplequote.hpp>
namespace QuantLib {
// floating reference date, floating market data
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
const Calendar& cal,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const std::vector<std::vector<Handle<Quote> > >& vols,
const DayCounter& dc,
BusinessDayConvention bdc)
: SwaptionVolatilityDiscrete(optionTenors, swapTenors, 0, cal, dc, bdc),
volHandles_(vols),
volatilities_(vols.size(), vols.front().size()) {
checkInputs(volatilities_.rows(), volatilities_.columns());
registerWithMarketData();
interpolation_ = BilinearInterpolation(
swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(),
volatilities_);
}
// fixed reference date, floating market data
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
const Date& referenceDate,
const Calendar& cal,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const std::vector<std::vector<Handle<Quote> > >& vols,
const DayCounter& dc,
BusinessDayConvention bdc)
: SwaptionVolatilityDiscrete(optionTenors, swapTenors, referenceDate, cal, dc, bdc),
volHandles_(vols),
volatilities_(vols.size(), vols.front().size()) {
checkInputs(volatilities_.rows(), volatilities_.columns());
registerWithMarketData();
interpolation_ = BilinearInterpolation(
swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(),
volatilities_);
}
// floating reference date, fixed market data
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
const Calendar& cal,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const Matrix& vols,
const DayCounter& dc,
BusinessDayConvention bdc)
: SwaptionVolatilityDiscrete(optionTenors, swapTenors, 0, cal, dc, bdc),
volHandles_(vols.rows()),
volatilities_(vols.rows(), vols.columns()) {
checkInputs(vols.rows(), vols.columns());
// fill dummy handles to allow generic handle-based
// computations later on
for (Size i=0; i<vols.rows(); i++) {
volHandles_[i].resize(vols.columns());
for (Size j=0; j<vols.columns(); j++) {
volHandles_[i][j] = Handle<Quote>(boost::shared_ptr<Quote>(
new SimpleQuote(vols[i][j])));
}
}
interpolation_ = BilinearInterpolation(
swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(),
volatilities_);
}
// fixed reference date, fixed market data
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
const Date& refDate,
const Calendar& cal,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const Matrix& vols,
const DayCounter& dc,
BusinessDayConvention bdc)
: SwaptionVolatilityDiscrete(optionTenors, swapTenors, refDate, cal, dc, bdc),
volHandles_(vols.rows()),
volatilities_(vols.rows(), vols.columns()) {
checkInputs(vols.rows(), vols.columns());
// fill dummy handles to allow generic handle-based
// computations later on
for (Size i=0; i<vols.rows(); i++) {
volHandles_[i].resize(vols.columns());
for (Size j=0; j<vols.columns(); j++) {
volHandles_[i][j] = Handle<Quote>(boost::shared_ptr<Quote>(
new SimpleQuote(vols[i][j])));
}
}
interpolation_ = BilinearInterpolation(
swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(),
volatilities_);
}
// fixed reference date and fixed market data, option dates
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
const Date& today,
const std::vector<Date>& optionDates,
const std::vector<Period>& swapTenors,
const Matrix& vols,
const DayCounter& dc)
: SwaptionVolatilityDiscrete(optionDates, swapTenors, today, Calendar(), dc),
volHandles_(vols.rows()),
volatilities_(vols.rows(), vols.columns()) {
checkInputs(vols.rows(), vols.columns());
// fill dummy handles to allow generic handle-based
// computations later on
for (Size i=0; i<vols.rows(); i++){
volHandles_[i].resize(vols.columns());
for (Size j=0; j<vols.columns(); j++){
volHandles_[i][j] = Handle<Quote>(boost::shared_ptr<Quote>(
new SimpleQuote(vols[i][j])));
}
}
interpolation_ = BilinearInterpolation(
swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(),
volatilities_);
}
void SwaptionVolatilityMatrix::performCalculations() const {
SwaptionVolatilityDiscrete::performCalculations();
// we might use iterators here...
for (Size i=0; i<volatilities_.rows(); ++i)
for (Size j=0; j<volatilities_.columns(); ++j)
volatilities_[i][j] = volHandles_[i][j]->value();
}
void SwaptionVolatilityMatrix::registerWithMarketData()
{
for (Size i=0; i<volHandles_.size(); ++i)
for (Size j=0; j<volHandles_.front().size(); ++j)
registerWith(volHandles_[i][j]);
}
boost::shared_ptr<SmileSection>
SwaptionVolatilityMatrix::smileSectionImpl(Time optionTime,
Time swapLength) const {
// dummy strike
Volatility atmVol = volatility(optionTime, swapLength, 0.05);
return boost::shared_ptr<SmileSection>(new
FlatSmileSection(optionTime, atmVol));
}
void SwaptionVolatilityMatrix::checkInputs(Size volRows,
Size volsColumns) const {
QL_REQUIRE(nOptionTenors_==volRows,
"mismatch between number of option dates ("
<< nOptionTenors_ << ") and number of rows ("
<< volRows << ") in the vol matrix");
QL_REQUIRE(nSwapTenors_==volsColumns,
"mismatch between number of tenors ("
<< nSwapTenors_ << ") and number of rows ("
<< volsColumns << ") in the vol matrix");
}
}
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