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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Ferdinando Ametrano
Copyright (C) 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia 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.
*/
/*! \file swaptionvolstructure.hpp
\brief Swaption volatility structure
*/
#ifndef quantlib_swaption_volatility_structure_hpp
#define quantlib_swaption_volatility_structure_hpp
#include <ql/termstructures/voltermstructure.hpp>
namespace QuantLib {
class SmileSection;
//! %Swaption-volatility structure
/*! This class is purely abstract and defines the interface of concrete
swaption volatility structures which will be derived from this one.
*/
class SwaptionVolatilityStructure : public VolatilityTermStructure {
public:
/*! \name Constructors
See the TermStructure documentation for issues regarding
constructors.
*/
//@{
//! default constructor
/*! \warning term structures initialized by means of this
constructor must manage their own reference date
by overriding the referenceDate() method.
*/
SwaptionVolatilityStructure(const Calendar& calendar = Calendar(),
const DayCounter& dc = DayCounter(),
BusinessDayConvention bdc = Following);
//! initialize with a fixed reference date
SwaptionVolatilityStructure(const Date& referenceDate,
const Calendar& calendar = Calendar(),
const DayCounter& dc = DayCounter(),
BusinessDayConvention bdc = Following);
//! calculate the reference date based on the global evaluation date
SwaptionVolatilityStructure(Natural settlementDays,
const Calendar&,
const DayCounter& dc = DayCounter(),
BusinessDayConvention bdc = Following);
//@}
virtual ~SwaptionVolatilityStructure() {}
//! \name Volatility, variance and smile
//@{
//! returns the volatility for a given option time and swapLength
Volatility volatility(Time optionTime,
Time swapLength,
Rate strike,
bool extrapolate = false) const;
//! returns the Black variance for a given option time and swapLength
Real blackVariance(Time optionTime,
Time swapLength,
Rate strike,
bool extrapolate = false) const;
//! returns the smile for a given option time and swapLength
boost::shared_ptr<SmileSection> smileSection(Time optionTime,
Time swapLength) const{
return smileSectionImpl(optionTime,swapLength);
};
//! returns the volatility for a given option date and swap tenor
Volatility volatility(const Date& optionDate,
const Period& swapTenor,
Rate strike,
bool extrapolate = false) const;
//! returns the Black variance for a given option date and swap tenor
Real blackVariance(const Date& optionDate,
const Period& swapTenor,
Rate strike,
bool extrapolate = false) const;
//! returns the smile for a given option date and swap tenor
boost::shared_ptr<SmileSection> smileSection(
const Date& optionDate,
const Period& swapTenor) const;
//! returns the volatility for a given option tenor and swap tenor
Volatility volatility(const Period& optionTenor,
const Period& swapTenor,
Rate strike,
bool extrapolate = false) const;
//! returns the Black variance for a given option tenor and swap tenor
Real blackVariance(const Period& optionTenor,
const Period& swapTenor,
Rate strike,
bool extrapolate = false) const;
//! returns the smile for a given option tenor and swap tenor
boost::shared_ptr<SmileSection> smileSection(
const Period& optionTenor,
const Period& swapTenor) const;
//@}
//! \name Limits
//@{
//! the largest length for which the term structure can return vols
virtual const Period& maxSwapTenor() const = 0;
//! the largest swapLength for which the term structure can return vols
virtual Time maxSwapLength() const;
//! the minimum strike for which the term structure can return vols
virtual Rate minStrike() const = 0;
//! the maximum strike for which the term structure can return vols
virtual Rate maxStrike() const = 0;
//@}
//! implements the conversion between dates and times
virtual std::pair<Time,Time> convertDates(const Date& optionDate,
const Period& swapTenor) const;
protected:
//! return smile section
virtual boost::shared_ptr<SmileSection> smileSectionImpl(
Time optionTime,
Time swapLength) const = 0;
// overloaded (at least) in SwaptionVolCube2
virtual boost::shared_ptr<SmileSection> smileSectionImpl(
const Date& optionDate,
const Period& swapTenor) const {
const std::pair<Time, Time> p = convertDates(optionDate, swapTenor);
return smileSectionImpl(p.first, p.second);
}
//! implements the actual volatility calculation in derived classes
virtual Volatility volatilityImpl(Time optionTime,
Time swapLength,
Rate strike) const = 0;
virtual Volatility volatilityImpl(const Date& optionDate,
const Period& swapTenor,
Rate strike) const {
const std::pair<Time, Time> p = convertDates(optionDate, swapTenor);
return volatilityImpl(p.first, p.second, strike);
}
void checkRange(Time, Time, Rate strike, bool extrapolate) const;
void checkRange(const Date& optionDate,
const Period& swapTenor,
Rate strike, bool extrapolate) const;
private:
BusinessDayConvention bdc_;
};
// inline definitions
// Volatility, variance (Time - Time - Rate)
inline Volatility SwaptionVolatilityStructure::volatility(
Time optionTime,
Time swapLength,
Rate strike,
bool extrapolate) const {
checkRange(optionTime, swapLength, strike, extrapolate);
return volatilityImpl(optionTime, swapLength, strike);
}
inline Real SwaptionVolatilityStructure::blackVariance(
Time optionTime,
Time swapLength,
Rate strike,
bool extrapolate) const {
checkRange(optionTime, swapLength, strike, extrapolate);
Volatility vol = volatilityImpl(optionTime, swapLength, strike);
return vol*vol*optionTime;
}
// Volatility, variance and smile (Date - Tenor - Rate)
inline Volatility SwaptionVolatilityStructure::volatility(
const Date& optionDate,
const Period& swapTenor,
Rate strike,
bool extrapolate) const {
checkRange(optionDate, swapTenor, strike, extrapolate);
return volatilityImpl(optionDate, swapTenor, strike);
}
inline Real SwaptionVolatilityStructure::blackVariance(
const Date& optionDate,
const Period& swapTenor,
Rate strike,
bool extrapolate) const {
Volatility vol =
volatility(optionDate, swapTenor, strike, extrapolate);
const std::pair<Time, Time> p = convertDates(optionDate, swapTenor);
return vol*vol*p.first;
}
inline boost::shared_ptr<SmileSection>
SwaptionVolatilityStructure::smileSection(
const Date& optionDate,
const Period& swapTenor) const {
return smileSectionImpl(optionDate, swapTenor);
}
// Volatility, variance and smile (Tenor - Tenor - Rate)
inline Volatility SwaptionVolatilityStructure::volatility(
const Period& optionTenor,
const Period& swapTenor,
Rate strike,
bool extrapolate) const {
Date optionDate = optionDateFromTenor(optionTenor);
return volatility(optionDate, swapTenor, strike, extrapolate);
}
inline Real SwaptionVolatilityStructure::blackVariance(
const Period& optionTenor,
const Period& swapTenor,
Rate strike,
bool extrapolate) const {
Date optionDate = optionDateFromTenor(optionTenor);
Volatility vol =
volatility(optionDate, swapTenor, strike, extrapolate);
const std::pair<Time, Time> p = convertDates(optionDate, swapTenor);
return vol*vol*p.first;
}
inline boost::shared_ptr<SmileSection>
SwaptionVolatilityStructure::smileSection(const Period& optionTenor,
const Period& swapTenor) const {
Date optionDate = optionDateFromTenor(optionTenor);
return smileSection(optionDate, swapTenor);
}
inline void SwaptionVolatilityStructure::checkRange(
Time optionTime, Time swapLength, Rate k, bool extrapolate) const {
TermStructure::checkRange(optionTime, extrapolate);
QL_REQUIRE(swapLength >= 0.0,
"negative swapLength (" << swapLength << ") given");
QL_REQUIRE(extrapolate || allowsExtrapolation() ||
swapLength <= maxSwapLength(),
"swapLength (" << swapLength << ") is past max curve swapLength ("
<< maxSwapLength() << ")");
QL_REQUIRE(extrapolate || allowsExtrapolation() ||
(k >= minStrike() && k <= maxStrike()),
"strike (" << k << ") is outside the curve domain ["
<< minStrike() << "," << maxStrike()<< "]");
}
}
#endif
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