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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Ferdinando Ametrano
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2015 Peter Caspers
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
<https://www.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/instruments/makecapfloor.hpp>
#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp>
#include <ql/termstructures/volatility/optionlet/strippedoptionlet.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <utility>
using std::vector;
namespace QuantLib {
StrippedOptionlet::StrippedOptionlet(Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention bdc,
ext::shared_ptr<IborIndex> iborIndex,
const vector<Date>& optionletDates,
const vector<Rate>& strikes,
vector<vector<Handle<Quote>>> v,
DayCounter dc,
VolatilityType type,
Real displacement)
: StrippedOptionlet(settlementDays,
calendar,
bdc,
std::move(iborIndex),
optionletDates,
vector<vector<Rate>>(optionletDates.size(), strikes),
std::move(v),
std::move(dc),
type,
displacement) {}
StrippedOptionlet::StrippedOptionlet(Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention bdc,
ext::shared_ptr<IborIndex> iborIndex,
const vector<Date>& optionletDates,
const vector<vector<Rate>>& strikes,
vector<vector<Handle<Quote>>> v,
DayCounter dc,
VolatilityType type,
Real displacement)
: calendar_(calendar), settlementDays_(settlementDays), businessDayConvention_(bdc),
dc_(std::move(dc)), iborIndex_(std::move(iborIndex)), type_(type),
displacement_(displacement), nOptionletDates_(optionletDates.size()),
optionletDates_(optionletDates), optionletTimes_(nOptionletDates_),
optionletAtmRates_(nOptionletDates_), optionletStrikes_(strikes),
optionletVolQuotes_(std::move(v)) {
checkInputs();
for (Size i = 0; i < nOptionletDates_; ++i)
optionletVolatilities_.emplace_back(strikes[i].size());
registerWith(Settings::instance().evaluationDate());
registerWithMarketData();
Date refDate = calendar.advance(Settings::instance().evaluationDate(),
settlementDays, Days);
for (Size i=0; i<nOptionletDates_; ++i)
optionletTimes_[i] = dc_.yearFraction(refDate, optionletDates_[i]);
}
void StrippedOptionlet::checkInputs() const {
QL_REQUIRE(!optionletDates_.empty(), "empty optionlet tenor vector");
QL_REQUIRE(nOptionletDates_==optionletVolQuotes_.size(),
"mismatch between number of option tenors (" <<
nOptionletDates_ << ") and number of volatility rows (" <<
optionletVolQuotes_.size() << ")");
QL_REQUIRE(optionletDates_[0]>Settings::instance().evaluationDate(),
"first option date (" << optionletDates_[0] << ") is in the past");
for (Size i=1; i<nOptionletDates_; ++i)
QL_REQUIRE(optionletDates_[i]>optionletDates_[i-1],
"non increasing option dates: " << io::ordinal(i) <<
" is " << optionletDates_[i-1] << ", " <<
io::ordinal(i+1) << " is " << optionletDates_[i]);
QL_REQUIRE(nOptionletDates_ == optionletStrikes_.size(),
"mismatch between number of option tenors (" << nOptionletDates_
<< ") and number of strikes ("
<< optionletStrikes_.size() << ")");
for (Size i = 0; i < nOptionletDates_; ++i) {
QL_REQUIRE(optionletStrikes_[i].size() == optionletVolQuotes_[i].size(),
"mismatch between number of option tenors ("
<< nOptionletDates_ << ") and number of vol columns at date " << i
<< " (" << optionletVolQuotes_[i].size());
for (Size j = 1; j < optionletStrikes_[i].size(); ++j)
QL_REQUIRE(optionletStrikes_[i][j - 1] < optionletStrikes_[i][j],
"non increasing strikes at date "
<< i << ": " << io::ordinal(j) << " is "
<< io::rate(optionletStrikes_[0][j - 1]) << ", "
<< io::ordinal(j + 1) << " is "
<< io::rate(optionletStrikes_[0][j]));
}
}
void StrippedOptionlet::registerWithMarketData() {
for (Size i = 0; i < nOptionletDates_; ++i)
for (auto& j : optionletVolQuotes_[i])
registerWith(j);
}
void StrippedOptionlet::performCalculations() const {
for (Size i = 0; i < nOptionletDates_; ++i)
for (Size j = 0; j < optionletVolQuotes_[i].size(); ++j)
optionletVolatilities_[i][j] = optionletVolQuotes_[i][j]->value();
}
const vector<Rate>& StrippedOptionlet::optionletStrikes(Size i) const{
QL_REQUIRE(i<optionletStrikes_.size(),
"index (" << i <<
") must be less than optionletStrikes size (" <<
optionletStrikes_.size() << ")");
return optionletStrikes_[i];
}
const vector<Volatility>&
StrippedOptionlet::optionletVolatilities(Size i) const{
calculate();
QL_REQUIRE(i<optionletVolatilities_.size(),
"index (" << i <<
") must be less than optionletVolatilities size (" <<
optionletVolatilities_.size() << ")");
return optionletVolatilities_[i];
}
const vector<Date>& StrippedOptionlet::optionletFixingDates() const {
calculate();
return optionletDates_;
}
const vector<Time>& StrippedOptionlet::optionletFixingTimes() const {
calculate();
return optionletTimes_;
}
Size StrippedOptionlet::optionletMaturities() const {
return nOptionletDates_;
}
const vector<Time>& StrippedOptionlet::atmOptionletRates() const {
calculate();
for (Size i=0; i<nOptionletDates_; ++i)
optionletAtmRates_[i] = iborIndex_->fixing(optionletDates_[i], true);
return optionletAtmRates_;
}
DayCounter StrippedOptionlet::dayCounter() const {
return dc_;
}
Calendar StrippedOptionlet::calendar() const {
return calendar_;
}
Natural StrippedOptionlet::settlementDays() const {
return settlementDays_;
}
BusinessDayConvention StrippedOptionlet::businessDayConvention() const {
return businessDayConvention_;
}
VolatilityType StrippedOptionlet::volatilityType() const {
return type_;
}
Real StrippedOptionlet::displacement() const {
return displacement_;
}
}
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