localvol.hpp

Go to the documentation of this file.

/*
 Copyright (C) 2019 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file ored/scripting/models/localvol.hpp
    \brief local vol model for n underlyings (fx, equity or commodity)
    \ingroup utilities
*/
 
#pragma once
 
#include <ored/scripting/models/blackscholesbase.hpp>
 
#include <qle/methods/multipathvariategenerator.hpp>
 
namespace ore {
namespace data {
 
class LocalVol : public BlackScholesBase {
public:
    /* ctor for multiple underlyings, see BlackScholesBase, plus:
       - processes: hold spot, rate and div ts and vol for each given index
       - calibrationMoneyness: a vector of relative forward atm moneyness used to calibrate the Andrease-Huge volatility
         surface to
       - we assume that the given correlations are constant and read the value only at t = 0
    */
    LocalVol(
        const Size paths, const std::vector<std::string>& currencies,
        const std::vector<Handle<YieldTermStructure>>& curves, const std::vector<Handle<Quote>>& fxSpots,
        const std::vector<std::pair<std::string, QuantLib::ext::shared_ptr<InterestRateIndex>>>& irIndices,
        const std::vector<std::pair<std::string, QuantLib::ext::shared_ptr<ZeroInflationIndex>>>& infIndices,
        const std::vector<std::string>& indices, const std::vector<std::string>& indexCurrencies,
        const Handle<BlackScholesModelWrapper>& model,
        const std::map<std::pair<std::string, std::string>, Handle<QuantExt::CorrelationTermStructure>>& correlations,
        const McParams& mcparams, const std::set<Date>& simulationDates,
        const IborFallbackConfig& iborFallbackConfig = IborFallbackConfig::defaultConfig());
 
    // ctor for a single underlying
    LocalVol(const Size paths, const std::string& currency, const Handle<YieldTermStructure>& curve,
             const std::string& index, const std::string& indexCurrency, const Handle<BlackScholesModelWrapper>& model,
             const McParams& mcparams, const std::set<Date>& simulationDates,
             const IborFallbackConfig& iborFallbackConfig = IborFallbackConfig::defaultConfig());
 
private:
    // ModelImpl interface implementation
    RandomVariable getFutureBarrierProb(const std::string& index, const Date& obsdate1, const Date& obsdate2,
                                        const RandomVariable& barrier, const bool above) const override;
 
    // BlackScholesBase interface implementation
    void performCalculations() const override;
 
    // helper method to populate path values
    void populatePathValues(const Size nSamples, std::map<Date, std::vector<RandomVariable>>& paths,
                            const QuantLib::ext::shared_ptr<MultiPathVariateGeneratorBase>& gen, const Matrix& correlation,
                            const Matrix& sqrtCorr, const std::vector<Array>& deterministicDrift,
                            const std::vector<Size>& eqComIdx, const std::vector<Real>& t, const std::vector<Real>& dt,
                            const std::vector<Real>& sqrtdt) const;
};
 
} // namespace data
} // namespace ore