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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 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.
*/
/*! \file swaptionvolcube2.hpp
\brief Swaption volatility cube, fit-later-interpolate-early approach
*/
#ifndef quantlib_swaption_volcube_fit_later_interpolate_early_h
#define quantlib_swaption_volcube_fit_later_interpolate_early_h
#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
namespace QuantLib {
class SwaptionVolCube2 : public SwaptionVolatilityCube{
public:
/*! The swaption vol cube is made up of ordered swaption vol surface
layers, each layer referring to a swap index of a given length
(in years), all indexes belonging to the same family. In order
to identify the family (and its market conventions) an index of
whatever length from that family must be passed in as
swapIndexBase.
Often for short swap length the swap index family is different,
e.g. the EUR case: swap vs 6M Euribor is used for length>1Y,
while swap vs 3M Euribor is used for the 1Y length. The
shortSwapIndexBase is used to identify this second family.
*/
SwaptionVolCube2(
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);
//! \name LazyObject interface
//@{
void performCalculations() const;
//@}
//! \name SwaptionVolatilityCube inspectors
//@{
const Matrix& volSpreads(Size i) const { return volSpreadsMatrix_[i]; }
boost::shared_ptr<SmileSection> smileSectionImpl(
const Date& optionDate,
const Period& swapTenor) const;
boost::shared_ptr<SmileSection> smileSectionImpl(
Time optionTime,
Time swapLength) const;
//@}
private:
mutable std::vector<Interpolation2D> volSpreadsInterpolator_;
mutable std::vector<Matrix> volSpreadsMatrix_;
};
}
#endif
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