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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.
*/
#include <ql/experimental/inflation/yoycapfloortermpricesurface.hpp>
namespace QuantLib {
YoYCapFloorTermPriceSurface::
YoYCapFloorTermPriceSurface(Natural fixingDays,
const Period &lag,
const ext::shared_ptr<YoYInflationIndex>& yii,
Rate baseRate,
const Handle<YieldTermStructure> &nominal,
const DayCounter &dc,
const Calendar &cal,
const BusinessDayConvention &bdc,
const std::vector<Rate> &cStrikes,
const std::vector<Rate> &fStrikes,
const std::vector<Period> &cfMaturities,
const Matrix &cPrice,
const Matrix &fPrice)
: InflationTermStructure(0, cal, baseRate, lag, yii->frequency(), yii->interpolated(), dc),
fixingDays_(fixingDays), bdc_(bdc), yoyIndex_(yii), nominalTS_(nominal),
cStrikes_(cStrikes), fStrikes_(fStrikes),
cfMaturities_(cfMaturities), cPrice_(cPrice), fPrice_(fPrice) {
// data consistency checking, enough data?
QL_REQUIRE(fStrikes_.size() > 1, "not enough floor strikes");
QL_REQUIRE(cStrikes_.size() > 1, "not enough cap strikes");
QL_REQUIRE(cfMaturities_.size() > 1, "not enough maturities");
QL_REQUIRE(fStrikes_.size() == fPrice.rows(),
"floor strikes vs floor price rows not equal");
QL_REQUIRE(cStrikes_.size() == cPrice.rows(),
"cap strikes vs cap price rows not equal");
QL_REQUIRE(cfMaturities_.size() == fPrice.columns(),
"maturities vs floor price columns not equal");
QL_REQUIRE(cfMaturities_.size() == cPrice.columns(),
"maturities vs cap price columns not equal");
// data has correct properties (positive, monotonic)?
for(Size j = 0; j <cfMaturities_.size(); j++) {
QL_REQUIRE( cfMaturities[j] > Period(0,Days), "non-positive maturities");
if(j>0) {
QL_REQUIRE( cfMaturities[j] > cfMaturities[j-1],
"non-increasing maturities");
}
for(Size i = 0; i <fPrice_.rows(); i++) {
QL_REQUIRE( fPrice_[i][j] > 0.0,
"non-positive floor price: " << fPrice_[i][j] );
if(i>0) {
QL_REQUIRE( fPrice_[i][j] >= fPrice_[i-1][j],
"non-increasing floor prices");
}
}
for(Size i = 0; i <cPrice_.rows(); i++) {
QL_REQUIRE( cPrice_[i][j] > 0.0,
"non-positive cap price: " << cPrice_[i][j] );
if(i>0) {
QL_REQUIRE( cPrice_[i][j] <= cPrice_[i-1][j],
"non-decreasing cap prices");
}
}
}
// Get the set of strikes, noting that repeats, overlaps are
// expected between caps and floors but that no overlap in the
// output is allowed so no repeats or overlaps are used
cfStrikes_ = std::vector<Rate>();
for(Size i = 0; i <fStrikes_.size(); i++)
cfStrikes_.push_back( fStrikes[i] );
Real eps = 0.0000001;
Rate maxFstrike = fStrikes_.back();
for(Size i = 0; i < cStrikes_.size(); i++) {
Rate k = cStrikes[i];
if (k > maxFstrike + eps) cfStrikes_.push_back(k);
}
// final consistency checking
QL_REQUIRE(cfStrikes_.size() > 2, "overall not enough strikes");
for (Size i = 1; i < cfStrikes_.size(); i++)
QL_REQUIRE( cfStrikes_[i] > cfStrikes_[i-1],
"cfStrikes not increasing");
}
Date YoYCapFloorTermPriceSurface::yoyOptionDateFromTenor(const Period& p) const
{
return Date(referenceDate()+p);
}
Real YoYCapFloorTermPriceSurface::price(const Period &d, const Rate k) const {
return price(yoyOptionDateFromTenor(d), k);
}
Real YoYCapFloorTermPriceSurface::capPrice(const Period &d, const Rate k) const {
return capPrice(yoyOptionDateFromTenor(d), k);
}
Real YoYCapFloorTermPriceSurface::floorPrice(const Period &d, const Rate k) const {
return floorPrice(yoyOptionDateFromTenor(d), k);
}
Rate YoYCapFloorTermPriceSurface::atmYoYSwapRate(const Period &d,
bool extrapolate) const {
return atmYoYSwapRate(yoyOptionDateFromTenor(d), extrapolate);
}
Rate YoYCapFloorTermPriceSurface::atmYoYRate(const Period &d,
const Period& obsLag,
bool extrapolate) const {
return atmYoYRate(yoyOptionDateFromTenor(d), obsLag, extrapolate);
}
}
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