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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/swaptionvolcube2.hpp>
#include <ql/termstructures/volatility/interpolatedsmilesection.hpp>
#include <ql/math/interpolations/bilinearinterpolation.hpp>
#include <ql/math/rounding.hpp>
namespace QuantLib {
SwaptionVolCube2::SwaptionVolCube2(
const Handle<SwaptionVolatilityStructure>& atmVolStructure,
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)
: SwaptionVolatilityCube(atmVolStructure, optionTenors, swapTenors,
strikeSpreads, volSpreads, swapIndexBase,
shortSwapIndexBase,
vegaWeightedSmileFit),
volSpreadsInterpolator_(nStrikes_),
volSpreadsMatrix_(nStrikes_, Matrix(optionTenors.size(), swapTenors.size(), 0.0)) {
}
void SwaptionVolCube2::performCalculations() const{
SwaptionVolatilityDiscrete::performCalculations();
//! set volSpreadsMatrix_ by volSpreads_ quotes
for (Size i=0; i<nStrikes_; i++)
for (Size j=0; j<nOptionTenors_; j++)
for (Size k=0; k<nSwapTenors_; k++) {
volSpreadsMatrix_[i][j][k] =
volSpreads_[j*nSwapTenors_+k][i]->value();
}
//! create volSpreadsInterpolator_
for (Size i=0; i<nStrikes_; i++) {
volSpreadsInterpolator_[i] = BilinearInterpolation(
swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(),
volSpreadsMatrix_[i]);
volSpreadsInterpolator_[i].enableExtrapolation();
}
}
boost::shared_ptr<SmileSection>
SwaptionVolCube2::smileSectionImpl(Time optionTime,
Time swapLength) const {
calculate();
Date optionDate = Date(static_cast<BigInteger>(
optionInterpolator_(optionTime)));
Rounding rounder(0);
Period swapTenor(static_cast<Integer>(rounder(swapLength*12.0)), Months);
return smileSectionImpl(optionDate, swapTenor);
}
boost::shared_ptr<SmileSection>
SwaptionVolCube2::smileSectionImpl(const Date& optionDate,
const Period& swapTenor) const {
calculate();
Rate atmForward = atmStrike(optionDate, swapTenor);
Volatility atmVol = atmVol_->volatility(optionDate,
swapTenor,
atmForward);
Time optionTime = timeFromReference(optionDate);
Real exerciseTimeSqrt = std::sqrt(optionTime);
std::vector<Real> strikes, stdDevs;
strikes.reserve(nStrikes_);
stdDevs.reserve(nStrikes_);
Time length = swapLength(swapTenor);
for (Size i=0; i<nStrikes_; ++i) {
strikes.push_back(atmForward + strikeSpreads_[i]);
stdDevs.push_back(exerciseTimeSqrt*(
atmVol + volSpreadsInterpolator_[i](length, optionTime)));
}
return boost::shared_ptr<SmileSection>(new
InterpolatedSmileSection<Linear>(optionTime,
strikes,
stdDevs,
atmForward));
}
}
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