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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, 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.
*/
/*! \file swapforwardmappings.hpp
\brief Utility functions for mapping between swap rate and forward rate
*/
#ifndef quantlib_swap_forward_mappings_hpp
#define quantlib_swap_forward_mappings_hpp
#include <ql/math/matrix.hpp>
namespace QuantLib {
class CurveState;
class MarketModel;
class SwapForwardMappings {
public:
//! compute annuity of arbitrary swap-rate
static Real annuity(const CurveState& cs,
Size startIndex,
Size endIndex,
Size numeraireIndex);
//! compute derivative of swap-rate to underlying forward rate
static Real swapDerivative(const CurveState& cs,
Size startIndex,
Size endIndex,
Size forwardIndex);
/*! Returns the dsr[i]/df[j] jacobian between
coterminal swap rates and forward rates */
static Matrix coterminalSwapForwardJacobian(const CurveState& cs);
/*! Returns the Z matrix to switch base from forward to
coterminal swap rates */
static Matrix coterminalSwapZedMatrix(const CurveState& cs, Spread displacement);
/*! Returns the dsr[i]/df[j] jacobian between
coinitial swap rates and forward rates */
static Matrix coinitialSwapForwardJacobian(const CurveState& cs);
/*! Returns the Z matrix to switch base from forward to
coinitial swap rates */
static Matrix coinitialSwapZedMatrix(const CurveState& cs, Spread displacement);
/*! Returns the dsr[i]/df[j] jacobian between
constant maturity swap rates and forward rates */
static Matrix cmSwapForwardJacobian(const CurveState& cs,
Size spanningForwards);
/*! Returns the Z matrix to switch base from forward to
constant maturity swap rates */
static Matrix cmSwapZedMatrix(const CurveState& cs, Size spanningForwards, Spread displacement);
/*! computes the implied vol of a swaption specified by two indices
using the freezing coefficients methdodology. This routine is easy to use but not very efficient
and if you want to do a lot of cases, then a different approach should be used.
Tested in SwapForwardMappingsTest::testSwaptionImpliedVolatility() in swapforwardmappings.cpp
*/
static Real
swaptionImpliedVolatility(const MarketModel& volStructure,
Size startIndex,
Size endIndex);
};
}
#endif
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