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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
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005 StatPro Italia srl
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/capfloortermvolcurve.hpp>
#include <ql/math/interpolations/cubicinterpolation.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/utilities/dataformatters.hpp>
namespace QuantLib {
// floating reference date, floating market data
CapFloorTermVolCurve::CapFloorTermVolCurve(
Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Handle<Quote> >& vols,
const DayCounter& dc)
: CapFloorTermVolatilityStructure(settlementDays, calendar, bdc, dc),
nOptionTenors_(optionTenors.size()),
optionTenors_(optionTenors),
optionDates_(nOptionTenors_),
optionTimes_(nOptionTenors_),
volHandles_(vols),
vols_(vols.size()) // do not initialize with nOptionTenors_
{
checkInputs();
initializeOptionDatesAndTimes();
registerWithMarketData();
interpolate();
}
// fixed reference date, floating market data
CapFloorTermVolCurve::CapFloorTermVolCurve(
const Date& settlementDate,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Handle<Quote> >& vols,
const DayCounter& dayCounter)
: CapFloorTermVolatilityStructure(settlementDate, calendar, bdc, dayCounter),
nOptionTenors_(optionTenors.size()),
optionTenors_(optionTenors),
optionDates_(nOptionTenors_),
optionTimes_(nOptionTenors_),
volHandles_(vols),
vols_(vols.size()) // do not initialize with nOptionTenors_
{
checkInputs();
initializeOptionDatesAndTimes();
registerWithMarketData();
interpolate();
}
// fixed reference date, fixed market data
CapFloorTermVolCurve::CapFloorTermVolCurve(
const Date& settlementDate,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Volatility>& vols,
const DayCounter& dayCounter)
: CapFloorTermVolatilityStructure(settlementDate, calendar, bdc, dayCounter),
nOptionTenors_(optionTenors.size()),
optionTenors_(optionTenors),
optionDates_(nOptionTenors_),
optionTimes_(nOptionTenors_),
volHandles_(vols.size()), // do not initialize with nOptionTenors_
vols_(vols)
{
checkInputs();
initializeOptionDatesAndTimes();
// fill dummy handles to allow generic handle-based computations later
for (Size i=0; i<nOptionTenors_; ++i)
volHandles_[i] = Handle<Quote>(boost::shared_ptr<Quote>(new
SimpleQuote(vols_[i])));
interpolate();
}
// floating reference date, fixed market data
CapFloorTermVolCurve::CapFloorTermVolCurve(
Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Volatility>& vols,
const DayCounter& dayCounter)
: CapFloorTermVolatilityStructure(settlementDays, calendar, bdc, dayCounter),
nOptionTenors_(optionTenors.size()),
optionTenors_(optionTenors),
optionDates_(nOptionTenors_),
optionTimes_(nOptionTenors_),
volHandles_(vols.size()), // do not initialize with nOptionTenors_
vols_(vols)
{
checkInputs();
initializeOptionDatesAndTimes();
// fill dummy handles to allow generic handle-based computations later
for (Size i=0; i<nOptionTenors_; ++i)
volHandles_[i] = Handle<Quote>(boost::shared_ptr<Quote>(new
SimpleQuote(vols_[i])));
interpolate();
}
void CapFloorTermVolCurve::checkInputs() const
{
QL_REQUIRE(!optionTenors_.empty(), "empty option tenor vector");
QL_REQUIRE(nOptionTenors_==vols_.size(),
"mismatch between number of option tenors (" <<
nOptionTenors_ << ") and number of volatilities (" <<
vols_.size() << ")");
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]);
}
void CapFloorTermVolCurve::registerWithMarketData()
{
for (Size i=0; i<volHandles_.size(); ++i)
registerWith(volHandles_[i]);
}
void CapFloorTermVolCurve::interpolate()
{
interpolation_ = CubicInterpolation(
optionTimes_.begin(), optionTimes_.end(),
vols_.begin(),
CubicInterpolation::Spline, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0);
}
void CapFloorTermVolCurve::update()
{
// recalculate dates if necessary...
if (moving_) {
Date d = Settings::instance().evaluationDate();
if (evaluationDate_ != d) {
evaluationDate_ = d;
initializeOptionDatesAndTimes();
}
}
CapFloorTermVolatilityStructure::update();
LazyObject::update();
}
void CapFloorTermVolCurve::initializeOptionDatesAndTimes() const
{
for (Size i=0; i<nOptionTenors_; ++i) {
optionDates_[i] = optionDateFromTenor(optionTenors_[i]);
optionTimes_[i] = timeFromReference(optionDates_[i]);
}
}
void CapFloorTermVolCurve::performCalculations() const
{
// check if date recalculation must be called here
for (Size i=0; i<vols_.size(); ++i)
vols_[i] = volHandles_[i]->value();
interpolation_.update();
}
}
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