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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2007 Katiuscia Manzoni
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/termstructures/volatility/optionlet/strippedoptionletadapter.hpp>
#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
#include <ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/interpolations/sabrinterpolation.hpp>
#include <ql/termstructures/volatility/interpolatedsmilesection.hpp>
#include <ql/math/interpolations/cubicinterpolation.hpp>
namespace QuantLib {
StrippedOptionletAdapter::StrippedOptionletAdapter(
const ext::shared_ptr<StrippedOptionletBase>& s)
: OptionletVolatilityStructure(s->settlementDays(),
s->calendar(),
s->businessDayConvention(),
s->dayCounter()),
optionletStripper_(s),
nInterpolations_(s->optionletMaturities()),
strikeInterpolations_(nInterpolations_) {
registerWith(optionletStripper_);
}
ext::shared_ptr<SmileSection>
StrippedOptionletAdapter::smileSectionImpl(Time t) const {
std::vector< Rate > optionletStrikes =
optionletStripper_->optionletStrikes(
0); // strikes are the same for all times ?!
std::vector< Real > stddevs;
stddevs.reserve(optionletStrikes.size());
for (Real optionletStrike : optionletStrikes) {
stddevs.push_back(volatilityImpl(t, optionletStrike) * std::sqrt(t));
}
// Extrapolation may be a problem with splines, but since minStrike()
// and maxStrike() are set, we assume that no one will use stddevs for
// strikes outside these strikes
CubicInterpolation::BoundaryCondition bc =
optionletStrikes.size() >= 4 ? CubicInterpolation::Lagrange
: CubicInterpolation::SecondDerivative;
return ext::make_shared< InterpolatedSmileSection< Cubic > >(
t, optionletStrikes, stddevs, Null< Real >(),
Cubic(CubicInterpolation::Spline, false, bc, 0.0, bc, 0.0),
Actual365Fixed(), volatilityType(), displacement());
}
Volatility StrippedOptionletAdapter::volatilityImpl(Time length,
Rate strike) const {
calculate();
std::vector<Volatility> vol(nInterpolations_);
for (Size i=0; i<nInterpolations_; ++i)
vol[i] = (*strikeInterpolations_[i])(strike, true);
const std::vector<Time>& optionletTimes =
optionletStripper_->optionletFixingTimes();
ext::shared_ptr<LinearInterpolation> timeInterpolator(new
LinearInterpolation(optionletTimes.begin(), optionletTimes.end(),
vol.begin()));
return (*timeInterpolator)(length, true);
}
void StrippedOptionletAdapter::performCalculations() const {
//const std::vector<Rate>& atmForward = optionletStripper_->atmOptionletRate();
//const std::vector<Time>& optionletTimes = optionletStripper_->optionletTimes();
for (Size i=0; i<nInterpolations_; ++i) {
const std::vector<Rate>& optionletStrikes =
optionletStripper_->optionletStrikes(i);
const std::vector<Volatility>& optionletVolatilities =
optionletStripper_->optionletVolatilities(i);
//strikeInterpolations_[i] = ext::shared_ptr<SABRInterpolation>(new
// SABRInterpolation(optionletStrikes.begin(), optionletStrikes.end(),
// optionletVolatilities.begin(),
// optionletTimes[i], atmForward[i],
// 0.02,0.5,0.2,0.,
// false, true, false, false
// //alphaGuess_, betaGuess_,
// //nuGuess_, rhoGuess_,
// //isParameterFixed_[0],
// //isParameterFixed_[1],
// //isParameterFixed_[2],
// //isParameterFixed_[3]
// ////,
// //vegaWeightedSmileFit_,
// //endCriteria_,
// //optMethod_
// ));
strikeInterpolations_[i] = ext::make_shared<LinearInterpolation>(optionletStrikes.begin(),
optionletStrikes.end(),
optionletVolatilities.begin());
//QL_ENSURE(strikeInterpolations_[i]->endCriteria()!=EndCriteria::MaxIterations,
// "section calibration failed: "
// "option time " << optionletTimes[i] <<
// ": " <<
// ", alpha " << strikeInterpolations_[i]->alpha()<<
// ", beta " << strikeInterpolations_[i]->beta() <<
// ", nu " << strikeInterpolations_[i]->nu() <<
// ", rho " << strikeInterpolations_[i]->rho() <<
// ", error " << strikeInterpolations_[i]->interpolationError()
// );
}
}
Rate StrippedOptionletAdapter::minStrike() const {
return optionletStripper_->optionletStrikes(0).front(); //FIX
}
Rate StrippedOptionletAdapter::maxStrike() const {
return optionletStripper_->optionletStrikes(0).back(); //FIX
}
Date StrippedOptionletAdapter::maxDate() const {
return optionletStripper_->optionletFixingDates().back();
}
VolatilityType StrippedOptionletAdapter::volatilityType() const {
return optionletStripper_->volatilityType();
}
Real StrippedOptionletAdapter::displacement() const {
return optionletStripper_->displacement();
}
}
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