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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2006 François du Vignaud
Copyright (C) 2006, 2008 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 swaptionvolmatrix.hpp
\brief Swaption at-the-money volatility matrix
*/
#ifndef quantlib_swaption_volatility_matrix_hpp
#define quantlib_swaption_volatility_matrix_hpp
#include <ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/math/matrix.hpp>
#include <vector>
namespace QuantLib {
class Quote;
//! At-the-money swaption-volatility matrix
/*! This class provides the at-the-money volatility for a given
swaption by interpolating a volatility matrix whose elements
are the market volatilities of a set of swaption with given
option date and swapLength.
The volatility matrix <tt>M</tt> must be defined so that:
- the number of rows equals the number of option dates;
- the number of columns equals the number of swap tenors;
- <tt>M[i][j]</tt> contains the volatility corresponding
to the <tt>i</tt>-th option and <tt>j</tt>-th tenor.
*/
class SwaptionVolatilityMatrix : public SwaptionVolatilityDiscrete {
public:
//! floating reference date, floating market data
SwaptionVolatilityMatrix(
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const std::vector<std::vector<Handle<Quote> > >& vols,
const DayCounter& dayCounter,
bool flatExtrapolation = false,
VolatilityType type = ShiftedLognormal,
const std::vector<std::vector<Real> >& shifts = std::vector<std::vector<Real> >());
//! fixed reference date, floating market data
SwaptionVolatilityMatrix(
const Date& referenceDate,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const std::vector<std::vector<Handle<Quote> > >& vols,
const DayCounter& dayCounter,
bool flatExtrapolation = false,
VolatilityType type = ShiftedLognormal,
const std::vector<std::vector<Real> >& shifts = std::vector<std::vector<Real> >());
//! floating reference date, fixed market data
SwaptionVolatilityMatrix(const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const Matrix& volatilities,
const DayCounter& dayCounter,
bool flatExtrapolation = false,
VolatilityType type = ShiftedLognormal,
const Matrix& shifts = Matrix());
//! fixed reference date, fixed market data
SwaptionVolatilityMatrix(const Date& referenceDate,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const Matrix& volatilities,
const DayCounter& dayCounter,
bool flatExtrapolation = false,
VolatilityType type = ShiftedLognormal,
const Matrix& shifts = Matrix());
//! fixed reference date and fixed market data, option dates
SwaptionVolatilityMatrix(const Date& referenceDate,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Date>& optionDates,
const std::vector<Period>& swapTenors,
const Matrix& volatilities,
const DayCounter& dayCounter,
bool flatExtrapolation = false,
VolatilityType type = ShiftedLognormal,
const Matrix& shifts = Matrix());
// make class non-copyable and non-movable
SwaptionVolatilityMatrix(SwaptionVolatilityMatrix&&) = delete;
SwaptionVolatilityMatrix(const SwaptionVolatilityMatrix&) = delete;
SwaptionVolatilityMatrix& operator=(SwaptionVolatilityMatrix&&) = delete;
SwaptionVolatilityMatrix& operator=(const SwaptionVolatilityMatrix&) = delete;
~SwaptionVolatilityMatrix() override = default;
//! \name LazyObject interface
//@{
void performCalculations() const override;
//@}
//! \name TermStructure interface
//@{
Date maxDate() const override;
//@}
//! \name VolatilityTermStructure interface
//@{
Rate minStrike() const override;
Rate maxStrike() const override;
//@}
//! \name SwaptionVolatilityStructure interface
//@{
const Period& maxSwapTenor() const override;
//@}
//! \name Other inspectors
//@{
//! returns the lower indexes of surrounding volatility matrix corners
std::pair<Size,Size> locate(const Date& optionDate,
const Period& swapTenor) const {
return locate(timeFromReference(optionDate),
swapLength(swapTenor));
}
//! returns the lower indexes of surrounding volatility matrix corners
std::pair<Size,Size> locate(Time optionTime,
Time swapLength) const {
return std::make_pair(interpolation_.locateY(optionTime),
interpolation_.locateX(swapLength));
}
//@}
VolatilityType volatilityType() const override;
protected:
// defining the following method would break CMS test suite
// to be further investigated
//ext::shared_ptr<SmileSection> smileSectionImpl(const Date&,
// const Period&) const;
ext::shared_ptr<SmileSection> smileSectionImpl(Time, Time) const override;
Volatility volatilityImpl(Time optionTime, Time swapLength, Rate strike) const override;
Real shiftImpl(Time optionTime, Time swapLength) const override;
private:
void checkInputs(Size volRows,
Size volsColumns,
Size shiftRows,
Size shiftsColumns) const;
void registerWithMarketData();
std::vector<std::vector<Handle<Quote> > > volHandles_;
std::vector<std::vector<Real> > shiftValues_;
mutable Matrix volatilities_, shifts_;
Interpolation2D interpolation_, interpolationShifts_;
VolatilityType volatilityType_;
};
// inline definitions
inline Date SwaptionVolatilityMatrix::maxDate() const {
return optionDates_.back();
}
inline Rate SwaptionVolatilityMatrix::minStrike() const {
return -QL_MAX_REAL;
}
inline Rate SwaptionVolatilityMatrix::maxStrike() const {
return QL_MAX_REAL;
}
inline const Period& SwaptionVolatilityMatrix::maxSwapTenor() const {
return swapTenors_.back();
}
inline Volatility SwaptionVolatilityMatrix::volatilityImpl(Time optionTime,
Time swapLength,
Rate) const {
calculate();
return interpolation_(swapLength, optionTime, true);
}
inline VolatilityType SwaptionVolatilityMatrix::volatilityType() const {
return volatilityType_;
}
inline Real SwaptionVolatilityMatrix::shiftImpl(Time optionTime,
Time swapLength) const {
calculate();
Real tmp = interpolationShifts_(swapLength, optionTime, true);
return tmp;
}
} // namespace QuantLib
#endif
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