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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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 gaussian1dswaptionvolatility.hpp
\brief swaption volatility implied by a gaussian 1d model
*/
#ifndef quantlib_swaption_gaussian1d_swaption_volatility_hpp
#define quantlib_swaption_gaussian1d_swaption_volatility_hpp
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
#include <ql/time/period.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp>
#include <ql/pricingengines/swaption/gaussian1dswaptionengine.hpp>
namespace QuantLib {
class Quote;
class Gaussian1dSwaptionVolatility : public SwaptionVolatilityStructure {
public:
Gaussian1dSwaptionVolatility(const Calendar& cal,
BusinessDayConvention bdc,
ext::shared_ptr<SwapIndex> indexBase,
const ext::shared_ptr<Gaussian1dModel>& model,
const DayCounter& dc,
ext::shared_ptr<Gaussian1dSwaptionEngine> swaptionEngine =
ext::shared_ptr<Gaussian1dSwaptionEngine>());
//@{
Date maxDate() const override { return Date::maxDate(); }
//@}
//! \name VolatilityTermStructure interface
//@{
Real minStrike() const override { return 0.0; }
Real maxStrike() const override { return QL_MAX_REAL; }
//@}
//! \name SwaptionVolatilityStructure interface
//@{
const Period& maxSwapTenor() const override { return maxSwapTenor_; }
//@}
protected:
ext::shared_ptr<SmileSection> smileSectionImpl(const Date&, const Period&) const override;
ext::shared_ptr<SmileSection> smileSectionImpl(Time, Time) const override;
Volatility volatilityImpl(const Date&, const Period&, Rate) const override;
Volatility volatilityImpl(Time, Time, Rate) const override;
private:
ext::shared_ptr<SwapIndex> indexBase_;
ext::shared_ptr<Gaussian1dModel> model_;
ext::shared_ptr<Gaussian1dSwaptionEngine> engine_;
const Period maxSwapTenor_;
class DateHelper {
public:
DateHelper(const TermStructure &ts, const Time t) : ts_(ts), t_(t) {}
Real operator()(Real date) const {
Date d1(static_cast<Date::serial_type>(date));
Date d2(static_cast<Date::serial_type>(date) + 1);
Real t1 = ts_.timeFromReference(d1) - t_;
Real t2 = ts_.timeFromReference(d2) - t_;
Real h = date - static_cast<Date::serial_type>(date);
return h * t2 + (1.0 - h) * t1;
}
Real derivative(Real date) const {
// use fwd difference to avoid dates before reference date
return (operator()(date + 1E-6) - operator()(date)) * 1E6;
}
const TermStructure &ts_;
const Time t_;
};
};
}
#endif
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