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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Franois du Vignaud
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/models/marketmodels/marketmodel.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <ql/models/marketmodels/piecewiseconstantcorrelation.hpp>
#include <ql/models/marketmodels/models/piecewiseconstantvariance.hpp>
namespace QuantLib {
std::vector<Volatility> rateVolDifferences(
const MarketModel& marketModel1,
const MarketModel& marketModel2) {
QL_ENSURE(marketModel1.initialRates() == marketModel2.initialRates(),
"initialRates do not match");
const EvolutionDescription& evolutionDescription1
= marketModel1.evolution();
const EvolutionDescription& evolutionDescription2
= marketModel2.evolution();
QL_ENSURE(evolutionDescription1.evolutionTimes()
== evolutionDescription2.evolutionTimes(),
"Evolution times do not match");
const Matrix& totalCovariance1
= marketModel1.totalCovariance(marketModel1.numberOfSteps()-1);
const Matrix& totalCovariance2
= marketModel2.totalCovariance(marketModel2.numberOfSteps()-1);
const std::vector<Time>& maturities =
evolutionDescription1.evolutionTimes();
std::vector<Volatility> result(totalCovariance1.columns());
for (Size i=0; i<totalCovariance1.columns(); ++i) {
Real diff = totalCovariance1[i][i]-totalCovariance2[i][i];
result[i] = std::sqrt(diff/maturities[i]);
}
return result;
}
std::vector<Spread> rateInstVolDifferences(
const MarketModel& marketModel1,
const MarketModel& marketModel2,
Size index) {
QL_ENSURE(marketModel1.initialRates() == marketModel2.initialRates(),
"initialRates do not match");
const EvolutionDescription& evolutionDescription1
= marketModel1.evolution();
const EvolutionDescription& evolutionDescription2
= marketModel2.evolution();
QL_ENSURE(evolutionDescription1.evolutionTimes()
== evolutionDescription2.evolutionTimes(),
"Evolution times do not match");
QL_ENSURE(index<evolutionDescription1.numberOfSteps(),
"the index given is greater than the number of steps");
const std::vector<Time>& evolutionTimes
= evolutionDescription1.evolutionTimes();
std::vector<Spread> result(evolutionTimes.size());
Time previousEvolutionTime = 0;
for (Size i=0; i<evolutionTimes.size(); ++i) {
Time currentEvolutionTime = evolutionTimes[i];
Time dt = currentEvolutionTime - previousEvolutionTime;
const Matrix& covariance1 = marketModel1.covariance(i);
const Matrix& covariance2 = marketModel2.covariance(i);
Real diff = covariance1[index][index] - covariance2[index][index];
result[i] = std::sqrt(diff/dt);
previousEvolutionTime = currentEvolutionTime;
}
return result;
}
std::vector<Matrix> coterminalSwapPseudoRoots(
const PiecewiseConstantCorrelation& piecewiseConstantCorrelation,
const std::vector<boost::shared_ptr<PiecewiseConstantVariance> >&
piecewiseConstantVariances) {
QL_ENSURE(piecewiseConstantCorrelation.times()
== piecewiseConstantVariances.front()->rateTimes(),
"correlations and volatilities intertave");
std::vector<Matrix> peudoRoots;
const std::vector<Time>& rateTimes
= piecewiseConstantVariances.front()->rateTimes();
for (Size i=1; i<rateTimes.size(); ++i) {
Time sqrtTau = std::sqrt(rateTimes[i]-rateTimes[i-1]);
const Matrix& correlations
= piecewiseConstantCorrelation.correlation(i);
Matrix pseudoRoot(correlations.rows(), correlations.rows());
for (Size j=0; j<correlations.rows(); ++j) {
Real volatility
= piecewiseConstantVariances[j]->volatility(i)*sqrtTau;
std::transform(correlations.row_begin(j),
correlations.row_end(j),
pseudoRoot.row_begin(j),
std::bind2nd(std::multiplies<Real>(),
volatility));
}
peudoRoots.push_back(pseudoRoot);
}
return peudoRoots;
}
}
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