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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 Katiuscia Manzoni
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 capfloortermvolsurface.hpp
\brief Cap/floor smile volatility surface
*/
#ifndef quantlib_cap_floor_term_vol_surface_hpp
#define quantlib_cap_floor_term_vol_surface_hpp
#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/quote.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <vector>
namespace QuantLib {
//! Cap/floor smile volatility surface
/*! This class provides the volatility for a given cap/floor interpolating
a volatility surface whose elements are the market term volatilities
of a set of caps/floors with given length and given strike.
*/
class CapFloorTermVolSurface : public LazyObject,
public CapFloorTermVolatilityStructure {
public:
//! floating reference date, floating market data
CapFloorTermVolSurface(Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Rate>& strikes,
const std::vector<std::vector<Handle<Quote> > >&,
const DayCounter& dc = Actual365Fixed());
//! fixed reference date, floating market data
CapFloorTermVolSurface(const Date& settlementDate,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Rate>& strikes,
const std::vector<std::vector<Handle<Quote> > >&,
const DayCounter& dc = Actual365Fixed());
//! fixed reference date, fixed market data
CapFloorTermVolSurface(const Date& settlementDate,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Rate>& strikes,
const Matrix& volatilities,
const DayCounter& dc = Actual365Fixed());
//! floating reference date, fixed market data
CapFloorTermVolSurface(Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Rate>& strikes,
const Matrix& volatilities,
const DayCounter& dc = Actual365Fixed());
//! \name TermStructure interface
//@{
Date maxDate() const override;
//@}
//! \name VolatilityTermStructure interface
//@{
Real minStrike() const override;
Real maxStrike() const override;
//@}
//! \name LazyObject interface
//@{
void update() override;
void performCalculations() const override;
//@}
//! \name some inspectors
//@{
const std::vector<Period>& optionTenors() const;
const std::vector<Date>& optionDates() const;
const std::vector<Time>& optionTimes() const;
const std::vector<Rate>& strikes() const;
//@}
protected:
Volatility volatilityImpl(Time t, Rate strike) const override;
private:
void checkInputs() const;
void initializeOptionDatesAndTimes() const;
void registerWithMarketData();
void interpolate();
Size nOptionTenors_;
std::vector<Period> optionTenors_;
mutable std::vector<Date> optionDates_;
mutable std::vector<Time> optionTimes_;
Date evaluationDate_;
Size nStrikes_;
std::vector<Rate> strikes_;
std::vector<std::vector<Handle<Quote> > > volHandles_;
mutable Matrix vols_;
// make it not mutable if possible
mutable Interpolation2D interpolation_;
};
// inline definitions
inline Date CapFloorTermVolSurface::maxDate() const {
calculate();
return optionDateFromTenor(optionTenors_.back());
}
inline Real CapFloorTermVolSurface::minStrike() const {
return strikes_.front();
}
inline Real CapFloorTermVolSurface::maxStrike() const {
return strikes_.back();
}
inline
Volatility CapFloorTermVolSurface::volatilityImpl(Time t,
Rate strike) const {
calculate();
return interpolation_(strike, t, true);
}
inline
const std::vector<Period>& CapFloorTermVolSurface::optionTenors() const {
return optionTenors_;
}
inline
const std::vector<Date>& CapFloorTermVolSurface::optionDates() const {
// what if quotes are not available?
calculate();
return optionDates_;
}
inline
const std::vector<Time>& CapFloorTermVolSurface::optionTimes() const {
// what if quotes are not available?
calculate();
return optionTimes_;
}
inline const std::vector<Rate>& CapFloorTermVolSurface::strikes() const {
return strikes_;
}
}
#endif
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