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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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/math/solvers1d/newtonsafe.hpp>
#include <ql/termstructures/volatility/gaussian1dsmilesection.hpp>
#include <ql/termstructures/volatility/swaption/gaussian1dswaptionvolatility.hpp>
#include <utility>
namespace QuantLib {
Gaussian1dSwaptionVolatility::Gaussian1dSwaptionVolatility(
const Calendar& cal,
BusinessDayConvention bdc,
ext::shared_ptr<SwapIndex> indexBase,
const ext::shared_ptr<Gaussian1dModel>& model,
const DayCounter& dc,
ext::shared_ptr<Gaussian1dSwaptionEngine> swaptionEngine)
: SwaptionVolatilityStructure(model->termStructure()->referenceDate(), cal, bdc, dc),
indexBase_(std::move(indexBase)), model_(model), engine_(std::move(swaptionEngine)),
maxSwapTenor_(100 * Years) {}
ext::shared_ptr<SmileSection>
Gaussian1dSwaptionVolatility::smileSectionImpl(const Date& d, const Period& tenor) const {
ext::shared_ptr<SmileSection> tmp = ext::make_shared<Gaussian1dSmileSection>(
d, indexBase_->clone(tenor), model_, this->dayCounter(), engine_);
return tmp;
}
ext::shared_ptr<SmileSection>
Gaussian1dSwaptionVolatility::smileSectionImpl(Time optionTime,
Time swapLength) const {
DateHelper hlp(*this, optionTime);
NewtonSafe newton;
Date d(static_cast<Date::serial_type>(newton.solve(
hlp, 0.1,
365.25 * optionTime + static_cast<Real>(referenceDate().serialNumber()),
1.0)));
Period tenor(
static_cast<Integer>(Rounding(0)(swapLength * 12.0)),
Months);
d = indexBase_->fixingCalendar().adjust(d);
return smileSectionImpl(d, tenor);
}
Volatility Gaussian1dSwaptionVolatility::volatilityImpl(const Date &d,
const Period &tenor,
Rate strike) const {
return smileSectionImpl(d, tenor)->volatility(strike);
}
Volatility Gaussian1dSwaptionVolatility::volatilityImpl(Time optionTime,
Time swapLength,
Rate strike) const {
return smileSectionImpl(optionTime, swapLength)->volatility(strike);
}
}
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