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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Mark Joshi
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/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.hpp>
#include <ql/math/matrixutilities/basisincompleteordered.hpp>
#include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
namespace QuantLib
{
VolatilityBumpInstrumentJacobian::VolatilityBumpInstrumentJacobian(const VegaBumpCollection& bumps,
const std::vector<Swaption>& swaptions,
const std::vector<Cap>& caps)
: bumps_(bumps), swaptions_(swaptions), caps_(caps), computed_(false,swaptions.size()+caps.size()),
derivatives_(swaptions.size()+caps.size(),std::vector<Real>(bumps.numberBumps())),
bumpMatrix_(swaptions.size()+caps.size(),bumps_.numberBumps())
{
onePercentBumps_ = derivatives_;
allComputed_=false;
}
std::vector<Real> VolatilityBumpInstrumentJacobian::derivativesVolatility(Size j) const {
QL_REQUIRE(j < swaptions_.size()+caps_.size(), "too high index passed to VolatilityBumpInstrumentJacobian::derivativesVolatility");
if (computed_[j])
return derivatives_[j];
derivatives_[j].resize(bumps_.numberBumps());
onePercentBumps_[j].resize(bumps_.numberBumps());
Real sizesq=0.0;
computed_[j] = true;
Size initj = j;
if ( j < swaptions_.size()) // ok its a swaptions
{
SwaptionPseudoDerivative thisPseudo(bumps_.associatedModel(), swaptions_[j].startIndex_,swaptions_[j].endIndex_);
for (Size k=0; k < bumps_.numberBumps(); ++k)
{
Real v =0.0;
for (Size i= bumps_.allBumps()[k].stepBegin(); i < bumps_.allBumps()[k].stepEnd(); ++i)
{
const Matrix& fullDerivative = thisPseudo.volatilityDerivative(i);
for (Size f= bumps_.allBumps()[k].factorBegin(); f < bumps_.allBumps()[k].factorEnd(); ++f)
for (Size r= bumps_.allBumps()[k].rateBegin(); r < bumps_.allBumps()[k].rateEnd(); ++r)
v += fullDerivative[r][f];
}
derivatives_[j][k] =v;
sizesq+= v*v;
}
}
else // its a cap
{
j-= swaptions_.size();
CapPseudoDerivative thisPseudo(bumps_.associatedModel(), caps_[j].strike_, caps_[j].startIndex_,caps_[j].endIndex_,1.0); // ifrst df shouldn't make any difference
for (Size k=0; k < bumps_.numberBumps(); ++k)
{
Real v =0.0;
for (Size i= bumps_.allBumps()[k].stepBegin(); i < bumps_.allBumps()[k].stepEnd(); ++i)
{
const Matrix& fullDerivative = thisPseudo.volatilityDerivative(i);
for (Size f= bumps_.allBumps()[k].factorBegin(); f < bumps_.allBumps()[k].factorEnd(); ++f)
for (Size r= bumps_.allBumps()[k].rateBegin(); r < bumps_.allBumps()[k].rateEnd(); ++r)
v += fullDerivative[r][f];
}
sizesq += v*v;
derivatives_[initj][k] =v;
}
}
for (Size k=0; k < bumps_.numberBumps(); ++k)
{
bumpMatrix_[initj][k] = onePercentBumps_[initj][k] = 0.01 * derivatives_[initj][k]/sizesq;
}
return derivatives_[initj];
}
std::vector<Real> VolatilityBumpInstrumentJacobian::onePercentBump(Size j) const {
derivativesVolatility(j);
return onePercentBumps_[j];
}
const Matrix& VolatilityBumpInstrumentJacobian::getAllOnePercentBumps() const
{
if (!allComputed_)
for (Size i=0; i <swaptions_.size()+caps_.size(); ++i)
derivativesVolatility(i);
allComputed_ =true;
return bumpMatrix_;
}
OrthogonalizedBumpFinder::OrthogonalizedBumpFinder(const VegaBumpCollection& bumps,
const std::vector<VolatilityBumpInstrumentJacobian::Swaption>& swaptions,
const std::vector<VolatilityBumpInstrumentJacobian::Cap>& caps,
Real multiplierCutOff,
Real tolerance) :
derivativesProducer_(bumps,swaptions,caps),
multiplierCutOff_(multiplierCutOff),
tolerance_(tolerance)
{
}
void OrthogonalizedBumpFinder::GetVegaBumps(std::vector<std::vector<Matrix> >& theBumps) const
{
OrthogonalProjections projector(derivativesProducer_.getAllOnePercentBumps(),
multiplierCutOff_,
tolerance_ );
Size numberRestrictedBumps(projector.numberValidVectors());
ext::shared_ptr<MarketModel> marketmodel(derivativesProducer_.getInputBumps().associatedModel());
const EvolutionDescription& evolution(marketmodel->evolution());
Size numberSteps = evolution.numberOfSteps();
Size numberRates = evolution.numberOfRates();
Size factors = marketmodel->numberOfFactors();
theBumps.resize(numberSteps);
// recall that the bumps: We do the outermost vector by time step and inner one by which vega.
for (auto& theBump : theBumps)
theBump.resize(numberRestrictedBumps);
Matrix modelMatrix(numberRates, factors,0.0);
for (Size i=0; i< numberSteps; ++i)
for (Size j=0; j < numberRestrictedBumps; ++j)
theBumps[i][j] = modelMatrix;
const std::vector<VegaBumpCluster>& bumpClusters(derivativesProducer_.getInputBumps().allBumps());
Size bumpIndex =0;
for (Size instrument=0; instrument < projector.validVectors().size(); ++instrument)
{
if (projector.validVectors()[instrument])
{
for (Size cluster =0; cluster< bumpClusters.size(); ++cluster)
{
Real magnitude = projector.GetVector(instrument)[cluster];
for (Size step = bumpClusters[cluster].stepBegin(); step < bumpClusters[cluster].stepEnd(); ++step)
for (Size rate = bumpClusters[cluster].rateBegin(); rate < bumpClusters[cluster].rateEnd(); ++rate)
for (Size factor = bumpClusters[cluster].factorBegin(); factor < bumpClusters[cluster].factorEnd(); ++factor)
theBumps[step][bumpIndex][rate][factor] = magnitude;
}
++bumpIndex;
}
}
}
}
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