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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Cristina Duminuco
Copyright (C) 2007 Ferdinando Ametrano
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/experimental/volatility/abcdatmvolcurve.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
// floating reference date, floating market data
AbcdAtmVolCurve::AbcdAtmVolCurve(
Natural settlDays,
const Calendar& cal,
const std::vector<Period>& optionTenors,
const std::vector<Handle<Quote> >& volsHandles,
const std::vector<bool> inclusionInInterpolationFlag,
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackAtmVolCurve(settlDays, cal, bdc, dc),
nOptionTenors_(optionTenors.size()),
optionTenors_(optionTenors),
optionDates_(nOptionTenors_),
optionTimes_(nOptionTenors_),
actualOptionTimes_(nOptionTenors_),
volHandles_(volsHandles),
vols_(volsHandles.size()),
actualVols_(volsHandles.size()),
inclusionInInterpolation_(inclusionInInterpolationFlag),
interpolation_(boost::shared_ptr<AbcdInterpolation>()) // do not initialize with nOptionTenors_
{
checkInputs();
initializeOptionDatesAndTimes();
initializeVolatilities();
registerWithMarketData();
for (Size i=0; i<vols_.size(); ++i)
vols_[i] = volHandles_[i]->value();
interpolate();
}
void AbcdAtmVolCurve::checkInputs() const
{
QL_REQUIRE(!optionTenors_.empty(), "empty option tenor vector");
QL_REQUIRE(nOptionTenors_==vols_.size(),
"mismatch between number of option tenors (" <<
nOptionTenors_ << ") and number of volatilities (" <<
vols_.size() << ")");
QL_REQUIRE(optionTenors_[0]>0*Days,
"negative first option tenor: " << optionTenors_[0]);
for (Size i=1; i<nOptionTenors_; ++i)
QL_REQUIRE(optionTenors_[i]>optionTenors_[i-1],
"non increasing option tenor: " << io::ordinal(i) <<
" is " << optionTenors_[i-1] << ", " <<
io::ordinal(i+1) << " is " << optionTenors_[i]);
if (inclusionInInterpolation_.size()==1) {
inclusionInInterpolation_.resize(nOptionTenors_);
for(Size j=1; j<nOptionTenors_;++j)
inclusionInInterpolation_[j] = inclusionInInterpolation_[0];
} else
QL_REQUIRE(nOptionTenors_==inclusionInInterpolation_.size(),
"mismatch between number of option tenors (" <<
nOptionTenors_ << ") and number of inclusion's flags (" <<
inclusionInInterpolation_.size() << ")");
}
void AbcdAtmVolCurve::registerWithMarketData()
{
for (Size i=0; i<volHandles_.size(); ++i)
registerWith(volHandles_[i]);
}
void AbcdAtmVolCurve::interpolate()
{
interpolation_ = boost::shared_ptr<AbcdInterpolation>(new
AbcdInterpolation(actualOptionTimes_.begin(),
actualOptionTimes_.end(),
actualVols_.begin()));
}
void AbcdAtmVolCurve::accept(AcyclicVisitor& v) {
Visitor<AbcdAtmVolCurve>* v1 =
dynamic_cast<Visitor<AbcdAtmVolCurve>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
QL_FAIL("not a AbcdAtmVolCurve visitor");
}
void AbcdAtmVolCurve::update()
{
// recalculate dates if necessary...
if (moving_) {
Date d = Settings::instance().evaluationDate();
if (evaluationDate_ != d) {
evaluationDate_ = d;
initializeOptionDatesAndTimes();
}
}
BlackAtmVolCurve::update();
LazyObject::update();
}
void AbcdAtmVolCurve::initializeOptionDatesAndTimes() const
{
// the input time data
for (Size i=0; i<nOptionTenors_; ++i) {
optionDates_[i] = optionDateFromTenor(optionTenors_[i]);
optionTimes_[i] = timeFromReference(optionDates_[i]);
}
// the time data used for interpolation
actualOptionTimes_.clear();
for (Size i=0; i<nOptionTenors_; ++i) {
if(inclusionInInterpolation_[i]==true) {
actualOptionTimes_.push_back(optionTimes_[i]);
actualOptionTenors_.push_back(optionTenors_[i]);
}
}
}
void AbcdAtmVolCurve::initializeVolatilities() {
actualVols_.clear();
for (Size i=0; i<nOptionTenors_; ++i) {
vols_[i] = volHandles_[i]->value();
if(inclusionInInterpolation_[i]==true)
actualVols_.push_back(vols_[i]);
}
}
void AbcdAtmVolCurve::performCalculations() const
{
// check if date recalculation must be called here
actualVols_.clear();
for (Size i=0; i<vols_.size(); ++i) {
vols_[i] = volHandles_[i]->value();
if(inclusionInInterpolation_[i]==true)
actualVols_.push_back(vols_[i]);
}
interpolation_->update();
}
}
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