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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 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/termstructures/volatility/swaption/swaptionvoldiscrete.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/utilities/dataformatters.hpp>
namespace QuantLib {
SwaptionVolatilityDiscrete::SwaptionVolatilityDiscrete(
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: SwaptionVolatilityStructure(settlementDays, cal, bdc, dc),
nOptionTenors_(optionTenors.size()),
optionTenors_(optionTenors),
optionDates_(nOptionTenors_),
optionTimes_(nOptionTenors_),
optionDatesAsReal_(nOptionTenors_),
nSwapTenors_(swapTenors.size()),
swapTenors_(swapTenors),
swapLengths_(nSwapTenors_) {
checkOptionTenors();
initializeOptionDatesAndTimes();
checkSwapTenors();
initializeSwapLengths();
optionInterpolator_= LinearInterpolation(optionTimes_.begin(),
optionTimes_.end(),
optionDatesAsReal_.begin());
optionInterpolator_.update();
optionInterpolator_.enableExtrapolation();
registerWith(Settings::instance().evaluationDate());
evaluationDate_ = Settings::instance().evaluationDate();
}
SwaptionVolatilityDiscrete::SwaptionVolatilityDiscrete(
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: SwaptionVolatilityStructure(referenceDate, cal, bdc, dc),
nOptionTenors_(optionTenors.size()),
optionTenors_(optionTenors),
optionDates_(nOptionTenors_),
optionTimes_(nOptionTenors_),
optionDatesAsReal_(nOptionTenors_),
nSwapTenors_(swapTenors.size()),
swapTenors_(swapTenors),
swapLengths_(nSwapTenors_) {
checkOptionTenors();
initializeOptionDatesAndTimes();
checkSwapTenors();
initializeSwapLengths();
optionInterpolator_= LinearInterpolation(optionTimes_.begin(),
optionTimes_.end(),
optionDatesAsReal_.begin());
optionInterpolator_.update();
optionInterpolator_.enableExtrapolation();
}
SwaptionVolatilityDiscrete::SwaptionVolatilityDiscrete(
const std::vector<Date>& optionDates,
const std::vector<Period>& swapTenors,
const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: SwaptionVolatilityStructure(referenceDate, cal, bdc, dc),
nOptionTenors_(optionDates.size()),
optionTenors_(nOptionTenors_),
optionDates_(optionDates),
optionTimes_(nOptionTenors_),
optionDatesAsReal_(nOptionTenors_),
nSwapTenors_(swapTenors.size()),
swapTenors_(swapTenors),
swapLengths_(nSwapTenors_) {
checkOptionDates();
initializeOptionTimes();
checkSwapTenors();
initializeSwapLengths();
optionInterpolator_= LinearInterpolation(optionTimes_.begin(),
optionTimes_.end(),
optionDatesAsReal_.begin());
optionInterpolator_.update();
optionInterpolator_.enableExtrapolation();
}
void SwaptionVolatilityDiscrete::checkOptionDates() const {
QL_REQUIRE(optionDates_[0]>referenceDate(),
"first option date (" << optionDates_[0] <<
") must be greater than reference date (" <<
referenceDate() << ")");
for (Size i=1; i<nOptionTenors_; ++i) {
QL_REQUIRE(optionDates_[i]>optionDates_[i-1],
"non increasing option dates: " << io::ordinal(i) <<
" is " << optionDates_[i-1] << ", " << io::ordinal(i+1) <<
" is " << optionDates_[i]);
}
}
void SwaptionVolatilityDiscrete::checkOptionTenors() const {
QL_REQUIRE(optionTenors_[0]>0*Days,
"first option tenor is negative (" <<
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 SwaptionVolatilityDiscrete::checkSwapTenors() const {
QL_REQUIRE(swapTenors_[0]>0*Days,
"first swap tenor is negative (" <<
swapTenors_[0] << ")");
for (Size i=1; i<nSwapTenors_; ++i)
QL_REQUIRE(swapTenors_[i]>swapTenors_[i-1],
"non increasing swap tenor: " << io::ordinal(i) <<
" is " << swapTenors_[i-1] << ", " << io::ordinal(i+1) <<
" is " << swapTenors_[i]);
}
void SwaptionVolatilityDiscrete::initializeOptionDatesAndTimes() const {
for (Size i=0; i<nOptionTenors_; ++i) {
optionDates_[i] = optionDateFromTenor(optionTenors_[i]);
optionDatesAsReal_[i] =
static_cast<Real>(optionDates_[i].serialNumber());
}
initializeOptionTimes();
}
void SwaptionVolatilityDiscrete::initializeOptionTimes() const {
for (Size i=0; i<nOptionTenors_; ++i)
optionTimes_[i] = timeFromReference(optionDates_[i]);
}
void SwaptionVolatilityDiscrete::initializeSwapLengths() const {
for (Size i=0; i<nSwapTenors_; ++i)
swapLengths_[i] = swapLength(swapTenors_[i]);
}
void SwaptionVolatilityDiscrete::performCalculations() const {
// recalculate dates if necessary...
if (moving_) {
Date d = Settings::instance().evaluationDate();
if (evaluationDate_ != d) {
evaluationDate_ = d;
initializeOptionDatesAndTimes();
initializeSwapLengths();
optionInterpolator_.update();
}
}
}
void SwaptionVolatilityDiscrete::update() {
TermStructure::update();
LazyObject::update();
}
}
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