1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2006 Franois du Vignaud
Copyright (C) 2006, 2008 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 swaptionvolmatrix.hpp
\brief Swaption at-the-money volatility matrix
*/
#ifndef quantlib_swaption_volatility_matrix_hpp
#define quantlib_swaption_volatility_matrix_hpp
#include <ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/math/matrix.hpp>
#include <boost/noncopyable.hpp>
#include <vector>
namespace QuantLib {
class Quote;
//! At-the-money swaption-volatility matrix
/*! This class provides the at-the-money volatility for a given
swaption by interpolating a volatility matrix whose elements
are the market volatilities of a set of swaption with given
option date and swapLength.
The volatility matrix <tt>M</tt> must be defined so that:
- the number of rows equals the number of option dates;
- the number of columns equals the number of swap tenors;
- <tt>M[i][j]</tt> contains the volatility corresponding
to the <tt>i</tt>-th option and <tt>j</tt>-th tenor.
*/
class SwaptionVolatilityMatrix : public SwaptionVolatilityDiscrete,
private boost::noncopyable {
public:
//! floating reference date, floating market data
SwaptionVolatilityMatrix(
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const std::vector<std::vector<Handle<Quote> > >& vols,
const DayCounter& dayCounter);
//! fixed reference date, floating market data
SwaptionVolatilityMatrix(
const Date& referenceDate,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const std::vector<std::vector<Handle<Quote> > >& vols,
const DayCounter& dayCounter);
//! floating reference date, fixed market data
SwaptionVolatilityMatrix(
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const Matrix& volatilities,
const DayCounter& dayCounter);
//! fixed reference date, fixed market data
SwaptionVolatilityMatrix(
const Date& referenceDate,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const Matrix& volatilities,
const DayCounter& dayCounter);
// fixed reference date and fixed market data, option dates
SwaptionVolatilityMatrix(const Date& referenceDate,
const std::vector<Date>& optionDates,
const std::vector<Period>& swapTenors,
const Matrix& volatilities,
const DayCounter& dayCounter);
//! \name LazyObject interface
//@{
void performCalculations() const;
//@}
//! \name TermStructure interface
//@{
Date maxDate() const;
//@}
//! \name VolatilityTermStructure interface
//@{
Rate minStrike() const;
Rate maxStrike() const;
//@}
//! \name SwaptionVolatilityStructure interface
//@{
const Period& maxSwapTenor() const;
//@}
//! \name Other inspectors
//@{
//! returns the lower indexes of surrounding volatility matrix corners
std::pair<Size,Size> locate(const Date& optionDate,
const Period& swapTenor) const {
return locate(timeFromReference(optionDate),
swapLength(swapTenor));
}
//! returns the lower indexes of surrounding volatility matrix corners
std::pair<Size,Size> locate(Time optionTime,
Time swapLength) const {
return std::make_pair(interpolation_.locateY(optionTime),
interpolation_.locateX(swapLength));
}
//@}
protected:
// defining the following method would break CMS test suite
// to be further investigated
//boost::shared_ptr<SmileSection> smileSectionImpl(const Date&,
// const Period&) const;
boost::shared_ptr<SmileSection> smileSectionImpl(Time,
Time) const;
Volatility volatilityImpl(Time optionTime,
Time swapLength,
Rate strike) const;
private:
void checkInputs(Size volRows,
Size volsColumns) const;
void registerWithMarketData();
std::vector<std::vector<Handle<Quote> > > volHandles_;
mutable Matrix volatilities_;
Interpolation2D interpolation_;
};
// inline definitions
inline Date SwaptionVolatilityMatrix::maxDate() const {
return optionDates_.back();
}
inline Rate SwaptionVolatilityMatrix::minStrike() const {
return QL_MIN_REAL;
}
inline Rate SwaptionVolatilityMatrix::maxStrike() const {
return QL_MAX_REAL;
}
inline const Period& SwaptionVolatilityMatrix::maxSwapTenor() const {
return swapTenors_.back();
}
inline Volatility SwaptionVolatilityMatrix::volatilityImpl(Time optionTime,
Time swapLength,
Rate) const {
calculate();
return interpolation_(swapLength, optionTime, true);
}
}
#endif
|
