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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 François du Vignaud
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.
*/
/*! \file interpolatedsmilesection.hpp
\brief Interpolated smile section class
*/
#ifndef quantlib_interpolated_smile_section_hpp
#define quantlib_interpolated_smile_section_hpp
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructure.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <utility>
namespace QuantLib {
template<class Interpolator>
class InterpolatedSmileSection : public SmileSection,
public LazyObject {
public:
InterpolatedSmileSection(Time expiryTime,
std::vector<Rate> strikes,
const std::vector<Handle<Quote> >& stdDevHandles,
Handle<Quote> atmLevel,
const Interpolator& interpolator = Interpolator(),
const DayCounter& dc = Actual365Fixed(),
VolatilityType type = ShiftedLognormal,
Real shift = 0.0);
InterpolatedSmileSection(Time expiryTime,
std::vector<Rate> strikes,
const std::vector<Real>& stdDevs,
Real atmLevel,
const Interpolator& interpolator = Interpolator(),
const DayCounter& dc = Actual365Fixed(),
VolatilityType type = ShiftedLognormal,
Real shift = 0.0);
InterpolatedSmileSection(const Date& d,
std::vector<Rate> strikes,
const std::vector<Handle<Quote> >& stdDevHandles,
Handle<Quote> atmLevel,
const DayCounter& dc = Actual365Fixed(),
const Interpolator& interpolator = Interpolator(),
const Date& referenceDate = Date(),
VolatilityType type = ShiftedLognormal,
Real shift = 0.0);
InterpolatedSmileSection(const Date& d,
std::vector<Rate> strikes,
const std::vector<Real>& stdDevs,
Real atmLevel,
const DayCounter& dc = Actual365Fixed(),
const Interpolator& interpolator = Interpolator(),
const Date& referenceDate = Date(),
VolatilityType type = ShiftedLognormal,
Real shift = 0.0);
void performCalculations() const override;
Real varianceImpl(Rate strike) const override;
Volatility volatilityImpl(Rate strike) const override;
Real minStrike() const override { return strikes_.front(); }
Real maxStrike() const override { return strikes_.back(); }
Real atmLevel() const override { return atmLevel_->value(); }
void update() override;
private:
Real exerciseTimeSquareRoot_;
std::vector<Rate> strikes_;
std::vector<Handle<Quote> > stdDevHandles_;
Handle<Quote> atmLevel_;
mutable std::vector<Volatility> vols_;
mutable Interpolation interpolation_;
};
template <class Interpolator>
InterpolatedSmileSection<Interpolator>::InterpolatedSmileSection(
Time timeToExpiry,
std::vector<Rate> strikes,
const std::vector<Handle<Quote> >& stdDevHandles,
Handle<Quote> atmLevel,
const Interpolator& interpolator,
const DayCounter& dc,
const VolatilityType type,
const Real shift)
: SmileSection(timeToExpiry, dc, type, shift),
exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(std::move(strikes)),
stdDevHandles_(stdDevHandles), atmLevel_(std::move(atmLevel)), vols_(stdDevHandles.size()) {
for (auto& stdDevHandle : stdDevHandles_)
LazyObject::registerWith(stdDevHandle);
LazyObject::registerWith(atmLevel_);
// check strikes!!!!!!!!!!!!!!!!!!!!
interpolation_ = interpolator.interpolate(strikes_.begin(),
strikes_.end(),
vols_.begin());
}
template <class Interpolator>
InterpolatedSmileSection<Interpolator>::InterpolatedSmileSection(
Time timeToExpiry,
std::vector<Rate> strikes,
const std::vector<Real>& stdDevs,
Real atmLevel,
const Interpolator& interpolator,
const DayCounter& dc,
const VolatilityType type,
const Real shift)
: SmileSection(timeToExpiry, dc, type, shift),
exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(std::move(strikes)),
stdDevHandles_(stdDevs.size()), vols_(stdDevs.size()) {
// fill dummy handles to allow generic handle-based
// computations later on
for (Size i=0; i<stdDevs.size(); ++i)
stdDevHandles_[i] = Handle<Quote>(ext::shared_ptr<Quote>(new
SimpleQuote(stdDevs[i])));
atmLevel_ = Handle<Quote>
(ext::shared_ptr<Quote>(new SimpleQuote(atmLevel)));
// check strikes!!!!!!!!!!!!!!!!!!!!
interpolation_ = interpolator.interpolate(strikes_.begin(),
strikes_.end(),
vols_.begin());
}
template <class Interpolator>
InterpolatedSmileSection<Interpolator>::InterpolatedSmileSection(
const Date& d,
std::vector<Rate> strikes,
const std::vector<Handle<Quote> >& stdDevHandles,
Handle<Quote> atmLevel,
const DayCounter& dc,
const Interpolator& interpolator,
const Date& referenceDate,
const VolatilityType type,
const Real shift)
: SmileSection(d, dc, referenceDate, type, shift),
exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(std::move(strikes)),
stdDevHandles_(stdDevHandles), atmLevel_(std::move(atmLevel)), vols_(stdDevHandles.size()) {
for (auto& stdDevHandle : stdDevHandles_)
LazyObject::registerWith(stdDevHandle);
LazyObject::registerWith(atmLevel_);
// check strikes!!!!!!!!!!!!!!!!!!!!
interpolation_ = interpolator.interpolate(strikes_.begin(),
strikes_.end(),
vols_.begin());
}
template <class Interpolator>
InterpolatedSmileSection<Interpolator>::InterpolatedSmileSection(
const Date& d,
std::vector<Rate> strikes,
const std::vector<Real>& stdDevs,
Real atmLevel,
const DayCounter& dc,
const Interpolator& interpolator,
const Date& referenceDate,
const VolatilityType type,
const Real shift)
: SmileSection(d, dc, referenceDate, type, shift),
exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(std::move(strikes)),
stdDevHandles_(stdDevs.size()), vols_(stdDevs.size()) {
//fill dummy handles to allow generic handle-based
// computations later on
for (Size i=0; i<stdDevs.size(); ++i)
stdDevHandles_[i] = Handle<Quote>(ext::shared_ptr<Quote>(new
SimpleQuote(stdDevs[i])));
atmLevel_ = Handle<Quote>
(ext::shared_ptr<Quote>(new SimpleQuote(atmLevel)));
// check strikes!!!!!!!!!!!!!!!!!!!!
interpolation_ = interpolator.interpolate(strikes_.begin(),
strikes_.end(),
vols_.begin());
}
template <class Interpolator>
inline void InterpolatedSmileSection<Interpolator>::performCalculations()
const {
for (Size i=0; i<stdDevHandles_.size(); ++i)
vols_[i] = stdDevHandles_[i]->value()/exerciseTimeSquareRoot_;
interpolation_.update();
}
#ifndef __DOXYGEN__
template <class Interpolator>
Real InterpolatedSmileSection<Interpolator>::varianceImpl(Real strike) const {
calculate();
Real v = interpolation_(strike, true);
return v*v*exerciseTime();
}
template <class Interpolator>
Real InterpolatedSmileSection<Interpolator>::volatilityImpl(Real strike) const {
calculate();
return interpolation_(strike, true);
}
template <class Interpolator>
void InterpolatedSmileSection<Interpolator>::update() {
LazyObject::update();
SmileSection::update();
}
#endif
}
#endif
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