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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 Katiuscia Manzoni
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/termstructures/volatility/capfloor/capfloortermvolsurface.hpp>
#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/quotes/simplequote.hpp>
namespace QuantLib {
// floating reference date, floating market data
CapFloorTermVolSurface::CapFloorTermVolSurface(
Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Rate>& strikes,
const std::vector<std::vector<Handle<Quote> > >& vols,
const DayCounter& dc)
: CapFloorTermVolatilityStructure(settlementDays, calendar, bdc, dc),
nOptionTenors_(optionTenors.size()),
optionTenors_(optionTenors),
optionDates_(nOptionTenors_),
optionTimes_(nOptionTenors_),
nStrikes_(strikes.size()),
strikes_(strikes),
volHandles_(vols),
vols_(vols.size(), vols[0].size())
{
checkInputs();
initializeOptionDatesAndTimes();
for (Size i=0; i<nOptionTenors_; ++i)
QL_REQUIRE(volHandles_[i].size()==nStrikes_,
io::ordinal(i+1) << " row of vol handles has size " <<
volHandles_[i].size() << " instead of " << nStrikes_);
registerWithMarketData();
for (Size i=0; i<vols_.rows(); ++i)
for (Size j=0; j<vols_.columns(); ++j)
vols_[i][j] = volHandles_[i][j]->value();
interpolate();
}
// fixed reference date, floating market data
CapFloorTermVolSurface::CapFloorTermVolSurface(
const Date& settlementDate,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Rate>& strikes,
const std::vector<std::vector<Handle<Quote> > >& vols,
const DayCounter& dc)
: CapFloorTermVolatilityStructure(settlementDate, calendar, bdc, dc),
nOptionTenors_(optionTenors.size()),
optionTenors_(optionTenors),
optionDates_(nOptionTenors_),
optionTimes_(nOptionTenors_),
nStrikes_(strikes.size()),
strikes_(strikes),
volHandles_(vols),
vols_(vols.size(), vols[0].size())
{
checkInputs();
initializeOptionDatesAndTimes();
for (Size i=0; i<nOptionTenors_; ++i)
QL_REQUIRE(volHandles_[i].size()==nStrikes_,
io::ordinal(i+1) << " row of vol handles has size " <<
volHandles_[i].size() << " instead of " << nStrikes_);
registerWithMarketData();
for (Size i=0; i<vols_.rows(); ++i)
for (Size j=0; j<vols_.columns(); ++j)
vols_[i][j] = volHandles_[i][j]->value();
interpolate();
}
// fixed reference date, fixed market data
CapFloorTermVolSurface::CapFloorTermVolSurface(
const Date& settlementDate,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Rate>& strikes,
const Matrix& vols,
const DayCounter& dc)
: CapFloorTermVolatilityStructure(settlementDate, calendar, bdc, dc),
nOptionTenors_(optionTenors.size()),
optionTenors_(optionTenors),
optionDates_(nOptionTenors_),
optionTimes_(nOptionTenors_),
nStrikes_(strikes.size()),
strikes_(strikes),
volHandles_(vols.rows()),
vols_(vols)
{
checkInputs();
initializeOptionDatesAndTimes();
// fill dummy handles to allow generic handle-based computations later
for (Size i=0; i<nOptionTenors_; ++i) {
volHandles_[i].resize(nStrikes_);
for (Size j=0; j<nStrikes_; ++j)
volHandles_[i][j] = Handle<Quote>(ext::shared_ptr<Quote>(new
SimpleQuote(vols_[i][j])));
}
interpolate();
}
// floating reference date, fixed market data
CapFloorTermVolSurface::CapFloorTermVolSurface(
Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Rate>& strikes,
const Matrix& vols,
const DayCounter& dc)
: CapFloorTermVolatilityStructure(settlementDays, calendar, bdc, dc),
nOptionTenors_(optionTenors.size()),
optionTenors_(optionTenors),
optionDates_(nOptionTenors_),
optionTimes_(nOptionTenors_),
nStrikes_(strikes.size()),
strikes_(strikes),
volHandles_(vols.rows()),
vols_(vols)
{
checkInputs();
initializeOptionDatesAndTimes();
// fill dummy handles to allow generic handle-based computations later
for (Size i=0; i<nOptionTenors_; ++i) {
volHandles_[i].resize(nStrikes_);
for (Size j=0; j<nStrikes_; ++j)
volHandles_[i][j] = Handle<Quote>(ext::shared_ptr<Quote>(new
SimpleQuote(vols_[i][j])));
}
interpolate();
}
void CapFloorTermVolSurface::checkInputs() const {
QL_REQUIRE(!optionTenors_.empty(), "empty option tenor vector");
QL_REQUIRE(nOptionTenors_==vols_.rows(),
"mismatch between number of option tenors (" <<
nOptionTenors_ << ") and number of volatility rows (" <<
vols_.rows() << ")");
QL_REQUIRE(optionTenors_[0]>0*Days,
"negative first option tenor: " << optionTenors_[0]);
for (Size i=1; i<nOptionTenors_; ++i)
QL_REQUIRE(optionTenors_[i]>optionTenors_[i-1],
"non increasing option tenor: " << io::ordinal(i) <<
" is " << optionTenors_[i-1] << ", " <<
io::ordinal(i+1) << " is " << optionTenors_[i]);
QL_REQUIRE(nStrikes_==vols_.columns(),
"mismatch between strikes(" << strikes_.size() <<
") and vol columns (" << vols_.columns() << ")");
for (Size j=1; j<nStrikes_; ++j)
QL_REQUIRE(strikes_[j-1]<strikes_[j],
"non increasing strikes: " << io::ordinal(j) <<
" is " << io::rate(strikes_[j-1]) << ", " <<
io::ordinal(j+1) << " is " << io::rate(strikes_[j]));
}
void CapFloorTermVolSurface::registerWithMarketData()
{
for (Size i=0; i<nOptionTenors_; ++i)
for (Size j=0; j<nStrikes_; ++j)
registerWith(volHandles_[i][j]);
}
void CapFloorTermVolSurface::interpolate()
{
interpolation_ = BicubicSpline(strikes_.begin(),
strikes_.end(),
optionTimes_.begin(),
optionTimes_.end(),
vols_);
}
void CapFloorTermVolSurface::update()
{
// recalculate dates if necessary...
if (moving_) {
Date d = Settings::instance().evaluationDate();
if (evaluationDate_ != d) {
evaluationDate_ = d;
initializeOptionDatesAndTimes();
}
}
CapFloorTermVolatilityStructure::update();
LazyObject::update();
}
void CapFloorTermVolSurface::initializeOptionDatesAndTimes() const
{
for (Size i=0; i<nOptionTenors_; ++i) {
optionDates_[i] = optionDateFromTenor(optionTenors_[i]);
optionTimes_[i] = timeFromReference(optionDates_[i]);
}
}
void CapFloorTermVolSurface::performCalculations() const
{
// check if date recalculation must be called here
for (Size i=0; i<nOptionTenors_; ++i)
for (Size j=0; j<nStrikes_; ++j)
vols_[i][j] = volHandles_[i][j]->value();
interpolation_.update();
}
}
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