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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Chris Kenyon
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 yoyoptionletvolatilitystructures.cpp
\brief yoy inflation volatility structures
*/
#include <ql/termstructures/inflationtermstructure.hpp>
#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>
namespace QuantLib {
YoYOptionletVolatilitySurface::
YoYOptionletVolatilitySurface(Natural settlementDays,
const Calendar &cal,
BusinessDayConvention bdc,
const DayCounter& dc,
const Period& observationLag,
Frequency frequency,
bool indexIsInterpolated)
: VolatilityTermStructure(settlementDays, cal, bdc, dc),
baseLevel_(Null<Volatility>()), observationLag_(observationLag),
frequency_(frequency), indexIsInterpolated_(indexIsInterpolated)
{}
Date
YoYOptionletVolatilitySurface::baseDate() const {
// Depends on interpolation, or not, of observed index
// and observation lag with which it was built.
// We want this to work even if the index does not
// have a yoy term structure.
if (indexIsInterpolated()) {
return referenceDate() - observationLag();
} else {
return inflationPeriod(referenceDate() - observationLag(),
frequency()).first;
}
}
void YoYOptionletVolatilitySurface::checkRange(const Date& d, Rate strike,
bool extrapolate) const {
QL_REQUIRE(d >= baseDate(),
"date (" << d << ") is before base date");
QL_REQUIRE(extrapolate || allowsExtrapolation() || d <= maxDate(),
"date (" << d << ") is past max curve date ("
<< maxDate() << ")");
QL_REQUIRE(extrapolate || allowsExtrapolation() ||
(strike >= minStrike() && strike <= maxStrike()),
"strike (" << strike << ") is outside the curve domain ["
<< minStrike() << "," << maxStrike()<< "]] at date = " << d);
}
void YoYOptionletVolatilitySurface::checkRange(Time t, Rate strike,
bool extrapolate) const {
QL_REQUIRE(t >= timeFromReference(baseDate()),
"time (" << t << ") is before base date");
QL_REQUIRE(extrapolate || allowsExtrapolation() || t <= maxTime(),
"time (" << t << ") is past max curve time ("
<< maxTime() << ")");
QL_REQUIRE(extrapolate || allowsExtrapolation() ||
(strike >= minStrike() && strike <= maxStrike()),
"strike (" << strike << ") is outside the curve domain ["
<< minStrike() << "," << maxStrike()<< "] at time = " << t);
}
Volatility
YoYOptionletVolatilitySurface::volatility(const Date& maturityDate,
Rate strike,
const Period &obsLag,
bool extrapolate) const {
Period useLag = obsLag;
if (obsLag==Period(-1,Days)) {
useLag = observationLag();
}
if (indexIsInterpolated()) {
YoYOptionletVolatilitySurface::checkRange(maturityDate-useLag, strike, extrapolate);
Time t = timeFromReference(maturityDate-useLag);
return volatilityImpl(t,strike);
} else {
std::pair<Date,Date> dd = inflationPeriod(maturityDate-useLag, frequency());
YoYOptionletVolatilitySurface::checkRange(dd.first, strike, extrapolate);
Time t = timeFromReference(dd.first);
return volatilityImpl(t,strike);
}
}
Volatility
YoYOptionletVolatilitySurface::volatility(const Period& optionTenor,
Rate strike,
const Period &obsLag,
bool extrapolate) const {
Date maturityDate = optionDateFromTenor(optionTenor);
return volatility(maturityDate, strike, obsLag, extrapolate);
}
//! needed for total variance calculations
Time
YoYOptionletVolatilitySurface::timeFromBase(const Date &maturityDate,
const Period& obsLag) const {
Period useLag = obsLag;
if (obsLag==Period(-1,Days)) {
useLag = observationLag();
}
Date useDate;
if (indexIsInterpolated()) {
useDate = maturityDate - useLag;
} else {
useDate = inflationPeriod(maturityDate - useLag,
frequency()).first;
}
// This assumes that the inflation term structure starts
// as late as possible given the inflation index definition,
// which is the usual case.
return dayCounter().yearFraction(baseDate(), useDate);
}
Volatility
YoYOptionletVolatilitySurface::totalVariance(const Date& maturityDate,
Rate strike,
const Period &obsLag,
bool extrapolate) const {
Volatility vol = volatility(maturityDate, strike, obsLag, extrapolate);
Time t = timeFromBase(maturityDate, obsLag);
return vol*vol*t;
}
Volatility
YoYOptionletVolatilitySurface::totalVariance(const Period& tenor,
Rate strike,
const Period &obsLag,
bool extrap) const {
Date maturityDate = optionDateFromTenor(tenor);
return totalVariance(maturityDate, strike, obsLag, extrap);
}
//========================================================================
// constant yoy vol surface
//========================================================================
ConstantYoYOptionletVolatility::
ConstantYoYOptionletVolatility(const Volatility v,
Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc,
const Period &observationLag,
Frequency frequency,
bool indexIsInterpolated,
Rate minStrike,
Rate maxStrike)
: YoYOptionletVolatilitySurface(settlementDays, cal, bdc, dc,
observationLag, frequency, indexIsInterpolated),
volatility_(v), minStrike_(minStrike), maxStrike_(maxStrike) {}
Volatility ConstantYoYOptionletVolatility::volatilityImpl(const Time,
Rate) const {
return volatility_;
}
} // namespace QuantLib
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