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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Ferdinando Ametrano
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 swaptionvolcube.hpp
\brief Swaption volatility cube
*/
#ifndef quantlib_swaption_volatility_cube_h
#define quantlib_swaption_volatility_cube_h
#include <ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
namespace QuantLib {
class SwapIndex;
class Quote;
//! swaption-volatility cube
/*! \warning this class is not finalized and its interface might
change in subsequent releases.
*/
class SwaptionVolatilityCube : public SwaptionVolatilityDiscrete {
public:
SwaptionVolatilityCube(const Handle<SwaptionVolatilityStructure>& atmVolStructure,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const std::vector<Spread>& strikeSpreads,
std::vector<std::vector<Handle<Quote> > > volSpreads,
ext::shared_ptr<SwapIndex> swapIndexBase,
ext::shared_ptr<SwapIndex> shortSwapIndexBase,
bool vegaWeightedSmileFit);
//! \name TermStructure interface
//@{
DayCounter dayCounter() const override { return atmVol_->dayCounter(); }
Date maxDate() const override { return atmVol_->maxDate(); }
Time maxTime() const override { return atmVol_->maxTime(); }
const Date& referenceDate() const override { return atmVol_->referenceDate(); }
Calendar calendar() const override { return atmVol_->calendar(); }
Natural settlementDays() const override { return atmVol_->settlementDays(); }
//! \name VolatilityTermStructure interface
//@{
Rate minStrike() const override { return -QL_MAX_REAL; }
Rate maxStrike() const override { return QL_MAX_REAL; }
//@}
//! \name SwaptionVolatilityStructure interface
//@{
const Period& maxSwapTenor() const override { return atmVol_->maxSwapTenor(); }
//@}
//! \name Other inspectors
//@{
Rate atmStrike(const Date& optionDate,
const Period& swapTenor) const;
Rate atmStrike(const Period& optionTenor,
const Period& swapTenor) const {
Date optionDate = optionDateFromTenor(optionTenor);
return atmStrike(optionDate, swapTenor);
}
Handle<SwaptionVolatilityStructure> atmVol() const { return atmVol_; }
const std::vector<Spread>& strikeSpreads() const { return strikeSpreads_; }
const std::vector<std::vector<Handle<Quote> > >& volSpreads() const { return volSpreads_; }
ext::shared_ptr<SwapIndex> swapIndexBase() const { return swapIndexBase_; }
ext::shared_ptr<SwapIndex> shortSwapIndexBase() const { return shortSwapIndexBase_; }
bool vegaWeightedSmileFit() const { return vegaWeightedSmileFit_; }
//@}
//! \name LazyObject interface
//@{
void performCalculations() const override {
QL_REQUIRE(nStrikes_ >= requiredNumberOfStrikes(),
"too few strikes (" << nStrikes_
<< ") required are at least "
<< requiredNumberOfStrikes());
SwaptionVolatilityDiscrete::performCalculations();
}
//@}
VolatilityType volatilityType() const override;
protected:
void registerWithVolatilitySpread();
virtual Size requiredNumberOfStrikes() const { return 2; }
Volatility volatilityImpl(Time optionTime, Time swapLength, Rate strike) const override;
Volatility
volatilityImpl(const Date& optionDate, const Period& swapTenor, Rate strike) const override;
Real shiftImpl(Time optionTime, Time swapLength) const override;
Handle<SwaptionVolatilityStructure> atmVol_;
Size nStrikes_;
std::vector<Spread> strikeSpreads_;
mutable std::vector<Rate> localStrikes_;
mutable std::vector<Volatility> localSmile_;
std::vector<std::vector<Handle<Quote> > > volSpreads_;
ext::shared_ptr<SwapIndex> swapIndexBase_, shortSwapIndexBase_;
bool vegaWeightedSmileFit_;
};
// inline
inline VolatilityType SwaptionVolatilityCube::volatilityType() const {
return atmVol_->volatilityType();
}
inline Volatility SwaptionVolatilityCube::volatilityImpl(
Time optionTime,
Time swapLength,
Rate strike) const {
return smileSectionImpl(optionTime, swapLength)->volatility(strike);
}
inline Volatility SwaptionVolatilityCube::volatilityImpl(
const Date& optionDate,
const Period& swapTenor,
Rate strike) const {
return smileSectionImpl(optionDate, swapTenor)->volatility(strike);
}
inline Real SwaptionVolatilityCube::shiftImpl(Time optionTime,
Time swapLength) const {
return atmVol_->shift(optionTime, swapLength);
}
}
#endif
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