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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007 Giorgio Facchinetti
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 swaptionvolcube1.hpp
\brief Swaption volatility cube, fit-early-interpolate-later approach
*/
#ifndef quantlib_swaption_volcube_fit_early_interpolate_later_h
#define quantlib_swaption_volcube_fit_early_interpolate_later_h
#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>
#include <ql/math/matrix.hpp>
namespace QuantLib {
class Interpolation2D;
class EndCriteria;
class OptimizationMethod;
class SwaptionVolCube1 : public SwaptionVolatilityCube {
class Cube {
public:
Cube() {}
Cube(const std::vector<Date>& optionDates,
const std::vector<Period>& swapTenors,
const std::vector<Time>& optionTimes,
const std::vector<Time>& swapLengths,
Size nLayers,
bool extrapolation = true);
Cube& operator=(const Cube& o);
Cube(const Cube&);
virtual ~Cube() {}
void setElement(Size IndexOfLayer,
Size IndexOfRow,
Size IndexOfColumn,
Real x);
void setPoints(const std::vector<Matrix>& x);
void setPoint(const Date& optionDate,
const Period& swapTenor,
const Time optionTime,
const Time swapLengths,
const std::vector<Real>& point);
void setLayer(Size i,
const Matrix& x);
void expandLayers(Size i,
bool expandOptionTimes,
Size j,
bool expandSwapLengths);
const std::vector<Date>& optionDates() const {
return optionDates_;
}
const std::vector<Period>& swapTenors() const {
return swapTenors_;
}
const std::vector<Time>& optionTimes() const;
const std::vector<Time>& swapLengths() const;
const std::vector<Matrix>& points() const;
std::vector<Real> operator()(const Time optionTime,
const Time swapLengths) const;
void updateInterpolators()const;
Matrix browse() const;
private:
std::vector<Time> optionTimes_, swapLengths_;
std::vector<Date> optionDates_;
std::vector<Period> swapTenors_;
Size nLayers_;
std::vector<Matrix> points_;
mutable std::vector<Disposable<Matrix> > transposedPoints_;
bool extrapolation_;
mutable std::vector< boost::shared_ptr<Interpolation2D> > interpolators_;
};
public:
SwaptionVolCube1(
const Handle<SwaptionVolatilityStructure>& atmVolStructure,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const std::vector<Spread>& strikeSpreads,
const std::vector<std::vector<Handle<Quote> > >& volSpreads,
const boost::shared_ptr<SwapIndex>& swapIndexBase,
const boost::shared_ptr<SwapIndex>& shortSwapIndexBase,
bool vegaWeightedSmileFit,
const std::vector<std::vector<Handle<Quote> > >& parametersGuess,
const std::vector<bool>& isParameterFixed,
bool isAtmCalibrated,
const boost::shared_ptr<EndCriteria>& endCriteria
= boost::shared_ptr<EndCriteria>(),
Real maxErrorTolerance = Null<Real>(),
const boost::shared_ptr<OptimizationMethod>& optMethod
= boost::shared_ptr<OptimizationMethod>());
//! \name LazyObject interface
//@{
void performCalculations() const;
//@}
//! \name SwaptionVolatilityCube interface
//@{
boost::shared_ptr<SmileSection> smileSectionImpl(
Time optionTime,
Time swapLength) const;
//@}
//! \name Other inspectors
//@{
const Matrix& marketVolCube(Size i) const {
return marketVolCube_.points()[i];
}
Matrix sparseSabrParameters()const;
Matrix denseSabrParameters() const;
Matrix marketVolCube() const;
Matrix volCubeAtmCalibrated() const;
//@}
void sabrCalibrationSection(const Cube& marketVolCube,
Cube& parametersCube,
const Period& swapTenor) const;
void recalibration(Real beta,
const Period& swapTenor);
protected:
void registerWithParametersGuess();
boost::shared_ptr<SmileSection> smileSection(
Time optionTime,
Time swapLength,
const Cube& sabrParametersCube) const;
Cube sabrCalibration(const Cube& marketVolCube) const;
void fillVolatilityCube() const;
void createSparseSmiles() const;
std::vector<Real> spreadVolInterpolation(const Date& atmOptionDate,
const Period& atmSwapTenor) const;
private:
mutable Cube marketVolCube_;
mutable Cube volCubeAtmCalibrated_;
mutable Cube sparseParameters_;
mutable Cube denseParameters_;
mutable std::vector< std::vector<boost::shared_ptr<SmileSection> > >
sparseSmiles_;
std::vector<std::vector<Handle<Quote> > > parametersGuessQuotes_;
mutable Cube parametersGuess_;
std::vector<bool> isParameterFixed_;
bool isAtmCalibrated_;
const boost::shared_ptr<EndCriteria> endCriteria_;
Real maxErrorTolerance_;
const boost::shared_ptr<OptimizationMethod> optMethod_;
};
}
#endif
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