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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Ferdinando Ametrano
Copyright (C) 2006 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/swaption/swaptionvolcube.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/indexes/swapindex.hpp>
namespace QuantLib {
SwaptionVolatilityCube::SwaptionVolatilityCube(
const Handle<SwaptionVolatilityStructure>& atmVol,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const std::vector<Spread>& strikeSpreads,
const std::vector<std::vector<Handle<Quote> > >& volSpreads,
const boost::shared_ptr<SwapIndex>& swapIndexBase,
const boost::shared_ptr<SwapIndex>& shortSwapIndexBase,
bool vegaWeightedSmileFit)
: SwaptionVolatilityDiscrete(optionTenors, swapTenors, 0,
atmVol->calendar(),
atmVol->businessDayConvention(),
atmVol->dayCounter()),
atmVol_(atmVol),
nStrikes_(strikeSpreads.size()),
strikeSpreads_(strikeSpreads),
localStrikes_(nStrikes_),
localSmile_(nStrikes_),
volSpreads_(volSpreads),
swapIndexBase_(swapIndexBase),
shortSwapIndexBase_(shortSwapIndexBase),
vegaWeightedSmileFit_(vegaWeightedSmileFit)
{
QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything");
QL_REQUIRE(nStrikes_>1, "too few strikes (" << nStrikes_ << ")");
for (Size i=1; i<nStrikes_; ++i)
QL_REQUIRE(strikeSpreads_[i-1]<strikeSpreads_[i],
"non increasing strike spreads: " <<
io::ordinal(i) << " is " << strikeSpreads_[i-1] << ", " <<
io::ordinal(i+1) << " is " << strikeSpreads_[i]);
QL_REQUIRE(!volSpreads_.empty(), "empty vol spreads matrix");
QL_REQUIRE(nOptionTenors_*nSwapTenors_==volSpreads_.size(),
"mismatch between number of option tenors * swap tenors (" <<
nOptionTenors_*nSwapTenors_ << ") and number of rows (" <<
volSpreads_.size() << ")");
for (Size i=0; i<volSpreads_.size(); i++)
QL_REQUIRE(nStrikes_==volSpreads_[i].size(),
"mismatch between number of strikes (" << nStrikes_ <<
") and number of columns (" << volSpreads_[i].size() <<
") in the " << io::ordinal(i+1) << " row");
registerWith(atmVol_);
atmVol_->enableExtrapolation();
registerWith(swapIndexBase_);
registerWith(shortSwapIndexBase_);
QL_REQUIRE(shortSwapIndexBase_->tenor()<swapIndexBase_->tenor(),
"short index tenor (" << shortSwapIndexBase_->tenor() <<
") is not less than index tenor (" <<
swapIndexBase_->tenor() << ")");
registerWithVolatilitySpread();
registerWith(Settings::instance().evaluationDate());
evaluationDate_ = Settings::instance().evaluationDate();
}
void SwaptionVolatilityCube::registerWithVolatilitySpread()
{
for (Size i=0; i<nStrikes_; i++)
for (Size j=0; j<nOptionTenors_; j++)
for (Size k=0; k<nSwapTenors_; k++)
registerWith(volSpreads_[j*nSwapTenors_+k][i]);
}
Rate SwaptionVolatilityCube::atmStrike(const Date& optionD,
const Period& swapTenor) const {
// FIXME use a familyName-based index factory
if (swapTenor > shortSwapIndexBase_->tenor()) {
if (swapIndexBase_->exogenousDiscount()) {
return SwapIndex(swapIndexBase_->familyName(),
swapTenor,
swapIndexBase_->fixingDays(),
swapIndexBase_->currency(),
swapIndexBase_->fixingCalendar(),
swapIndexBase_->fixedLegTenor(),
swapIndexBase_->fixedLegConvention(),
swapIndexBase_->dayCounter(),
swapIndexBase_->iborIndex(),
swapIndexBase_->discountingTermStructure())
.fixing(optionD);
} else {
return SwapIndex(swapIndexBase_->familyName(),
swapTenor,
swapIndexBase_->fixingDays(),
swapIndexBase_->currency(),
swapIndexBase_->fixingCalendar(),
swapIndexBase_->fixedLegTenor(),
swapIndexBase_->fixedLegConvention(),
swapIndexBase_->dayCounter(),
swapIndexBase_->iborIndex())
.fixing(optionD);
}
} else {
if (shortSwapIndexBase_->exogenousDiscount()) {
return SwapIndex(shortSwapIndexBase_->familyName(),
swapTenor,
shortSwapIndexBase_->fixingDays(),
shortSwapIndexBase_->currency(),
shortSwapIndexBase_->fixingCalendar(),
shortSwapIndexBase_->fixedLegTenor(),
shortSwapIndexBase_->fixedLegConvention(),
shortSwapIndexBase_->dayCounter(),
shortSwapIndexBase_->iborIndex(),
shortSwapIndexBase_->discountingTermStructure())
.fixing(optionD);
} else {
return SwapIndex(shortSwapIndexBase_->familyName(),
swapTenor,
shortSwapIndexBase_->fixingDays(),
shortSwapIndexBase_->currency(),
shortSwapIndexBase_->fixingCalendar(),
shortSwapIndexBase_->fixedLegTenor(),
shortSwapIndexBase_->fixedLegConvention(),
shortSwapIndexBase_->dayCounter(),
shortSwapIndexBase_->iborIndex())
.fixing(optionD);
}
}
}
}
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