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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Ferdinando Ametrano
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 swaptionvoldiscrete.hpp
\brief Discretized swaption volatility
*/
#ifndef quantlib_swaption_volatility_discrete_h
#define quantlib_swaption_volatility_discrete_h
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
#include <ql/math/interpolation.hpp>
#include <ql/patterns/lazyobject.hpp>
namespace QuantLib {
class SwaptionVolatilityDiscrete : public LazyObject,
public SwaptionVolatilityStructure {
public:
SwaptionVolatilityDiscrete(const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc);
SwaptionVolatilityDiscrete(const std::vector<Period>& optionTenors,
const std::vector<Period>& swapTenors,
const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc);
SwaptionVolatilityDiscrete(const std::vector<Date>& optionDates,
const std::vector<Period>& swapTenors,
const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc);
const std::vector<Period>& optionTenors() const;
const std::vector<Date>& optionDates() const;
const std::vector<Time>& optionTimes() const;
const std::vector<Period>& swapTenors() const;
const std::vector<Time>& swapLengths() const;
//@}
//! \name Observer interface
//@{
void update() override;
//@}
//! \name LazyObject interface
//@{
void performCalculations() const override;
//@}
//! additional inspectors
Date optionDateFromTime(Time optionTime) const;
protected:
Size nOptionTenors_;
std::vector<Period> optionTenors_;
mutable std::vector<Date> optionDates_;
mutable std::vector<Time> optionTimes_;
mutable Interpolation optionInterpolator_;
mutable std::vector<Real> optionDatesAsReal_;
mutable std::vector<Time> optionInterpolatorTimes_;
mutable std::vector<Real> optionInterpolatorDatesAsReal_;
Size nSwapTenors_;
std::vector<Period> swapTenors_;
mutable std::vector<Time> swapLengths_;
mutable Date cachedReferenceDate_;
private:
void checkOptionTenors() const;
void checkOptionDates(const Date& reference) const;
void checkSwapTenors() const;
void initializeOptionDatesAndTimes() const;
void initializeOptionTimes() const;
void initializeSwapLengths() const;
};
// inline
inline const std::vector<Period>&
SwaptionVolatilityDiscrete::optionTenors() const {
return optionTenors_;
}
inline const std::vector<Date>&
SwaptionVolatilityDiscrete::optionDates() const {
return optionDates_;
}
inline const std::vector<Time>&
SwaptionVolatilityDiscrete::optionTimes() const {
return optionTimes_;
}
inline const std::vector<Period>&
SwaptionVolatilityDiscrete::swapTenors() const {
return swapTenors_;
}
inline const std::vector<Time>&
SwaptionVolatilityDiscrete::swapLengths() const {
return swapLengths_;
}
inline Date SwaptionVolatilityDiscrete::optionDateFromTime(Time optionTime) const {
return Date(static_cast<Date::serial_type>(optionInterpolator_(optionTime)));
}
}
#endif
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