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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
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 swaptionvolstructure.hpp
\brief Swaption volatility structure
*/
#ifndef quantlib_swaption_volatility_structure_hpp
#define quantlib_swaption_volatility_structure_hpp
#include <ql/termstructures/voltermstructure.hpp>
namespace QuantLib {
class SmileSection;
//! %Swaption-volatility structure
/*! This abstract class defines the interface of concrete swaption
volatility structures which will be derived from this one.
*/
class SwaptionVolatilityStructure : public VolatilityTermStructure {
public:
/*! \name Constructors
See the TermStructure documentation for issues regarding
constructors.
*/
//@{
#ifndef QL_DISABLE_DEPRECATED
/*! \warning term structures initialized by means of this
constructor must manage their own reference date
by overriding the referenceDate() method.
*/
SwaptionVolatilityStructure(const Calendar& calendar,
BusinessDayConvention bdc,
const DayCounter& dc = DayCounter());
#endif
/*! \warning term structures initialized by means of this
constructor must manage their own reference date
by overriding the referenceDate() method.
*/
SwaptionVolatilityStructure(BusinessDayConvention bdc,
const DayCounter& dc = DayCounter());
//! initialize with a fixed reference date
SwaptionVolatilityStructure(const Date& referenceDate,
const Calendar& calendar,
BusinessDayConvention bdc,
const DayCounter& dc = DayCounter());
//! calculate the reference date based on the global evaluation date
SwaptionVolatilityStructure(Natural settlementDays,
const Calendar&,
BusinessDayConvention bdc,
const DayCounter& dc = DayCounter());
//@}
virtual ~SwaptionVolatilityStructure() {}
//! \name Volatility, variance and smile
//@{
//! returns the volatility for a given option tenor and swap tenor
Volatility volatility(const Period& optionTenor,
const Period& swapTenor,
Rate strike,
bool extrapolate = false) const;
//! returns the volatility for a given option date and swap tenor
Volatility volatility(const Date& optionDate,
const Period& swapTenor,
Rate strike,
bool extrapolate = false) const;
//! returns the volatility for a given option time and swap tenor
Volatility volatility(Time optionTime,
const Period& swapTenor,
Rate strike,
bool extrapolate = false) const;
//! returns the volatility for a given option tenor and swap length
Volatility volatility(const Period& optionTenor,
Time swapLength,
Rate strike,
bool extrapolate = false) const;
//! returns the volatility for a given option date and swap length
Volatility volatility(const Date& optionDate,
Time swapLength,
Rate strike,
bool extrapolate = false) const;
//! returns the volatility for a given option time and swap length
Volatility volatility(Time optionTime,
Time swapLength,
Rate strike,
bool extrapolate = false) const;
//! returns the Black variance for a given option tenor and swap tenor
Real blackVariance(const Period& optionTenor,
const Period& swapTenor,
Rate strike,
bool extrapolate = false) const;
//! returns the Black variance for a given option date and swap tenor
Real blackVariance(const Date& optionDate,
const Period& swapTenor,
Rate strike,
bool extrapolate = false) const;
//! returns the Black variance for a given option time and swap tenor
Real blackVariance(Time optionTime,
const Period& swapTenor,
Rate strike,
bool extrapolate = false) const;
//! returns the Black variance for a given option tenor and swap length
Real blackVariance(const Period& optionTenor,
Time swapLength,
Rate strike,
bool extrapolate = false) const;
//! returns the Black variance for a given option date and swap length
Real blackVariance(const Date& optionDate,
Time swapLength,
Rate strike,
bool extrapolate = false) const;
//! returns the Black variance for a given option time and swap length
Real blackVariance(Time optionTime,
Time swapLength,
Rate strike,
bool extrapolate = false) const;
//! returns the smile for a given option tenor and swap tenor
boost::shared_ptr<SmileSection> smileSection(const Period& optionTenor,
const Period& swapTenor,
bool extr = false) const;
//! returns the smile for a given option date and swap tenor
boost::shared_ptr<SmileSection> smileSection(const Date& optionDate,
const Period& swapTenor,
bool extr = false) const;
//! returns the smile for a given option time and swap tenor
boost::shared_ptr<SmileSection> smileSection(Time optionTime,
const Period& swapTenor,
bool extr = false) const;
//! returns the smile for a given option tenor and swap length
boost::shared_ptr<SmileSection> smileSection(const Period& optionTenor,
Time swapLength,
bool extr = false) const;
//! returns the smile for a given option date and swap length
boost::shared_ptr<SmileSection> smileSection(const Date& optionDate,
Time swapLength,
bool extr = false) const;
//! returns the smile for a given option time and swap length
boost::shared_ptr<SmileSection> smileSection(Time optionTime,
Time swapLength,
bool extr = false) const;
//@}
//! \name Limits
//@{
//! the largest length for which the term structure can return vols
virtual const Period& maxSwapTenor() const = 0;
//! the largest swapLength for which the term structure can return vols
Time maxSwapLength() const;
//@}
//! implements the conversion between swap tenor and swap (time) length
Time swapLength(const Period& swapTenor) const;
//! implements the conversion between swap dates and swap (time) length
Time swapLength(const Date& start,
const Date& end) const;
protected:
virtual boost::shared_ptr<SmileSection> smileSectionImpl(
const Date& optionDate,
const Period& swapTenor) const;
virtual boost::shared_ptr<SmileSection> smileSectionImpl(
Time optionTime,
Time swapLength) const = 0;
virtual Volatility volatilityImpl(const Date& optionDate,
const Period& swapTenor,
Rate strike) const;
virtual Volatility volatilityImpl(Time optionTime,
Time swapLength,
Rate strike) const = 0;
void checkSwapTenor(const Period& swapTenor,
bool extrapolate) const;
void checkSwapTenor(Time swapLength,
bool extrapolate) const;
};
// inline definitions
// 1. methods with Period-denominated exercise convert Period to Date and then
// use the equivalent Date-denominated exercise methods
inline Volatility
SwaptionVolatilityStructure::volatility(const Period& optionTenor,
const Period& swapTenor,
Rate strike,
bool extrapolate) const {
Date optionDate = optionDateFromTenor(optionTenor);
return volatility(optionDate, swapTenor, strike, extrapolate);
}
inline Volatility
SwaptionVolatilityStructure::volatility(const Period& optionTenor,
Time swapLength,
Rate strike,
bool extrapolate) const {
Date optionDate = optionDateFromTenor(optionTenor);
return volatility(optionDate, swapLength, strike, extrapolate);
}
inline
Real SwaptionVolatilityStructure::blackVariance(const Period& optionTenor,
const Period& swapTenor,
Rate strike,
bool extrapolate) const {
Date optionDate = optionDateFromTenor(optionTenor);
return blackVariance(optionDate, swapTenor, strike, extrapolate);
}
inline
Real SwaptionVolatilityStructure::blackVariance(const Period& optionTenor,
Time swapLength,
Rate strike,
bool extrapolate) const {
Date optionDate = optionDateFromTenor(optionTenor);
return blackVariance(optionDate, swapLength, strike, extrapolate);
}
inline boost::shared_ptr<SmileSection>
SwaptionVolatilityStructure::smileSection(const Period& optionTenor,
const Period& swapTenor,
bool extrapolate) const {
Date optionDate = optionDateFromTenor(optionTenor);
return smileSection(optionDate, swapTenor, extrapolate);
}
// 2. blackVariance methods rely on volatility methods
inline
Real SwaptionVolatilityStructure::blackVariance(const Date& optionDate,
const Period& swapTenor,
Rate strike,
bool extrapolate) const {
Volatility v = volatility(optionDate, swapTenor, strike, extrapolate);
Time optionTime = timeFromReference(optionDate);
return v*v*optionTime;
}
inline
Real SwaptionVolatilityStructure::blackVariance(Time optionTime,
const Period& swapTenor,
Rate strike,
bool extrapolate) const {
Volatility v = volatility(optionTime, swapTenor, strike, extrapolate);
return v*v*optionTime;
}
inline
Real SwaptionVolatilityStructure::blackVariance(const Date& optionDate,
Time swapLength,
Rate strike,
bool extrapolate) const {
Volatility v = volatility(optionDate, swapLength, strike, extrapolate);
Time optionTime = timeFromReference(optionDate);
return v*v*optionTime;
}
inline
Real SwaptionVolatilityStructure::blackVariance(Time optionTime,
Time swapLength,
Rate strike,
bool extrapolate) const {
Volatility v = volatility(optionTime, swapLength, strike, extrapolate);
return v*v*optionTime;
}
// 3. relying on xxxImpl methods
inline Volatility
SwaptionVolatilityStructure::volatility(const Date& optionDate,
const Period& swapTenor,
Rate strike,
bool extrapolate) const {
checkSwapTenor(swapTenor, extrapolate);
checkRange(optionDate, extrapolate);
checkStrike(strike, extrapolate);
return volatilityImpl(optionDate, swapTenor, strike);
}
inline Volatility
SwaptionVolatilityStructure::volatility(const Date& optionDate,
Time swapLength,
Rate strike,
bool extrapolate) const {
checkSwapTenor(swapLength, extrapolate);
checkRange(optionDate, extrapolate);
checkStrike(strike, extrapolate);
Time optionTime = timeFromReference(optionDate);
return volatilityImpl(optionTime, swapLength, strike);
}
inline Volatility
SwaptionVolatilityStructure::volatility(Time optionTime,
const Period& swapTenor,
Rate strike,
bool extrapolate) const {
checkSwapTenor(swapTenor, extrapolate);
checkRange(optionTime, extrapolate);
checkStrike(strike, extrapolate);
Time length = swapLength(swapTenor);
return volatilityImpl(optionTime, length, strike);
}
inline Volatility
SwaptionVolatilityStructure::volatility(Time optionTime,
Time swapLength,
Rate strike,
bool extrapolate) const {
checkSwapTenor(swapLength, extrapolate);
checkRange(optionTime, extrapolate);
checkStrike(strike, extrapolate);
return volatilityImpl(optionTime, swapLength, strike);
}
inline boost::shared_ptr<SmileSection>
SwaptionVolatilityStructure::smileSection(const Date& optionDate,
const Period& swapTenor,
bool extrapolate) const {
checkSwapTenor(swapTenor, extrapolate);
checkRange(optionDate, extrapolate);
return smileSectionImpl(optionDate, swapTenor);
}
inline boost::shared_ptr<SmileSection>
SwaptionVolatilityStructure::smileSection(Time optionTime,
Time swapLength,
bool extrapolate) const {
checkSwapTenor(swapLength, extrapolate);
checkRange(optionTime, extrapolate);
return smileSectionImpl(optionTime, swapLength);
}
// 4. default implementation of Date-based xxxImpl methods
// relying on the equivalent Time-based methods
inline boost::shared_ptr<SmileSection>
SwaptionVolatilityStructure::smileSectionImpl(const Date& optionDate,
const Period& swapT) const {
return smileSectionImpl(timeFromReference(optionDate),
swapLength(swapT));
}
inline Volatility
SwaptionVolatilityStructure::volatilityImpl(const Date& optionDate,
const Period& swapTenor,
Rate strike) const {
return volatilityImpl(timeFromReference(optionDate),
swapLength(swapTenor),
strike);
}
inline Time SwaptionVolatilityStructure::maxSwapLength() const {
return swapLength(maxSwapTenor());
}
}
#endif
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