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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2008 Ferdinando Ametrano
Copyright (C) 2006 Franois du Vignaud
Copyright (C) 2006 Katiuscia Manzoni
Copyright (C) 2000, 2001, 2002, 2003 RiskMap 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/swaption/swaptionvolmatrix.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/math/interpolations/bilinearinterpolation.hpp>
namespace QuantLib {
// floating reference date, floating market data
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
const Calendar& cal,
BusinessDayConvention bdc,
const std::vector<Period>& optionT,
const std::vector<Period>& swapT,
const std::vector<std::vector<Handle<Quote> > >& vols,
const DayCounter& dc)
: SwaptionVolatilityDiscrete(optionT, swapT, 0, cal, bdc, dc),
volHandles_(vols),
volatilities_(vols.size(), vols.front().size()) {
checkInputs(volatilities_.rows(), volatilities_.columns());
registerWithMarketData();
interpolation_ =
BilinearInterpolation(swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(),
volatilities_);
}
// fixed reference date, floating market data
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
const Date& refDate,
const Calendar& cal,
BusinessDayConvention bdc,
const std::vector<Period>& optionT,
const std::vector<Period>& swapT,
const std::vector<std::vector<Handle<Quote> > >& vols,
const DayCounter& dc)
: SwaptionVolatilityDiscrete(optionT, swapT, refDate, cal, bdc, dc),
volHandles_(vols),
volatilities_(vols.size(), vols.front().size()) {
checkInputs(volatilities_.rows(), volatilities_.columns());
registerWithMarketData();
interpolation_ =
BilinearInterpolation(swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(),
volatilities_);
}
// floating reference date, fixed market data
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
const Calendar& cal,
BusinessDayConvention bdc,
const std::vector<Period>& optionT,
const std::vector<Period>& swapT,
const Matrix& vols,
const DayCounter& dc)
: SwaptionVolatilityDiscrete(optionT, swapT, 0, cal, bdc, dc),
volHandles_(vols.rows()),
volatilities_(vols.rows(), vols.columns()) {
checkInputs(vols.rows(), vols.columns());
// fill dummy handles to allow generic handle-based
// computations later on
for (Size i=0; i<vols.rows(); ++i) {
volHandles_[i].resize(vols.columns());
for (Size j=0; j<vols.columns(); ++j)
volHandles_[i][j] = Handle<Quote>(boost::shared_ptr<Quote>(new
SimpleQuote(vols[i][j])));
}
interpolation_ =
BilinearInterpolation(swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(),
volatilities_);
}
// fixed reference date, fixed market data
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
const Date& refDate,
const Calendar& cal,
BusinessDayConvention bdc,
const std::vector<Period>& optionT,
const std::vector<Period>& swapT,
const Matrix& vols,
const DayCounter& dc)
: SwaptionVolatilityDiscrete(optionT, swapT, refDate, cal, bdc, dc),
volHandles_(vols.rows()),
volatilities_(vols.rows(), vols.columns()) {
checkInputs(vols.rows(), vols.columns());
// fill dummy handles to allow generic handle-based
// computations later on
for (Size i=0; i<vols.rows(); ++i) {
volHandles_[i].resize(vols.columns());
for (Size j=0; j<vols.columns(); ++j)
volHandles_[i][j] = Handle<Quote>(boost::shared_ptr<Quote>(new
SimpleQuote(vols[i][j])));
}
interpolation_ =
BilinearInterpolation(swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(),
volatilities_);
}
// fixed reference date and fixed market data, option dates
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
const Date& today,
const std::vector<Date>& optionDates,
const std::vector<Period>& swapT,
const Matrix& vols,
const DayCounter& dc)
: SwaptionVolatilityDiscrete(optionDates, swapT, today, Calendar(), Following, dc),
volHandles_(vols.rows()),
volatilities_(vols.rows(), vols.columns()) {
checkInputs(vols.rows(), vols.columns());
// fill dummy handles to allow generic handle-based
// computations later on
for (Size i=0; i<vols.rows(); ++i) {
volHandles_[i].resize(vols.columns());
for (Size j=0; j<vols.columns(); ++j)
volHandles_[i][j] = Handle<Quote>(boost::shared_ptr<Quote>(new
SimpleQuote(vols[i][j])));
}
interpolation_ =
BilinearInterpolation(swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(),
volatilities_);
}
void SwaptionVolatilityMatrix::checkInputs(Size volRows,
Size volsColumns) const {
QL_REQUIRE(nOptionTenors_==volRows,
"mismatch between number of option dates (" <<
nOptionTenors_ << ") and number of rows (" << volRows <<
") in the vol matrix");
QL_REQUIRE(nSwapTenors_==volsColumns,
"mismatch between number of swap tenors (" <<
nSwapTenors_ << ") and number of rows (" << volsColumns <<
") in the vol matrix");
}
void SwaptionVolatilityMatrix::registerWithMarketData()
{
for (Size i=0; i<volHandles_.size(); ++i)
for (Size j=0; j<volHandles_.front().size(); ++j)
registerWith(volHandles_[i][j]);
}
void SwaptionVolatilityMatrix::performCalculations() const {
SwaptionVolatilityDiscrete::performCalculations();
// we might use iterators here...
for (Size i=0; i<volatilities_.rows(); ++i)
for (Size j=0; j<volatilities_.columns(); ++j)
volatilities_[i][j] = volHandles_[i][j]->value();
}
//boost::shared_ptr<SmileSection>
//SwaptionVolatilityMatrix::smileSectionImpl(const Date& d,
// const Period& swapTenor) const {
// Time optionTime = timeFromReference(d);
// Time swapLength = convertSwapTenor(swapTenor);
// // dummy strike
// Volatility atmVol = volatilityImpl(optionTime, swapLength, 0.05);
// return boost::shared_ptr<SmileSection>(new
// FlatSmileSection(d, atmVol, dayCounter(), referenceDate()));
//}
boost::shared_ptr<SmileSection>
SwaptionVolatilityMatrix::smileSectionImpl(Time optionTime,
Time swapLength) const {
// dummy strike
Volatility atmVol = volatilityImpl(optionTime, swapLength, 0.05);
return boost::shared_ptr<SmileSection>(new
FlatSmileSection(optionTime, atmVol, dayCounter()));
}
}
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