localvolmodelbuilder.hpp

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/*
 Copyright (C) 2020 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/model/localvolmodelbuilder.hpp
    \brief builder for an array of local vol processes
    \ingroup utilities
*/
 
#pragma once
 
#include <ored/model/blackscholesmodelbuilderbase.hpp>
 
namespace ore {
namespace data {
 
using namespace QuantLib;
 
class LocalVolModelBuilder : public BlackScholesModelBuilderBase {
public:
    enum class Type { Dupire, DupireFloored, AndreasenHuge };
    LocalVolModelBuilder(const std::vector<Handle<YieldTermStructure>>& curves,
                         const std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess>>& processes,
                         const std::set<Date>& simulationDates = {},
                         const std::set<Date>& addDates = {},
                         const Size timeStepsPerYear = 1,
                         const Type lvType = Type::Dupire,
                         const std::vector<Real>& calibrationMoneyness = { -2.0, -1.0, 0.0, 1.0, 2.0 },
                         const bool dontCalibrate = false);
    LocalVolModelBuilder(const Handle<YieldTermStructure>& curve,
                         const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
                         const std::set<Date>& simulationDates = {},
                         const std::set<Date>& addDates = {},
                         const Size timeStepsPerYear = 1,
                         const Type lvType = Type::Dupire,
                         const std::vector<Real>& calibrationMoneyness = { -2.0, -1.0, 0.0, 1.0, 2.0 },
                         const bool dontCalibrate = false)
        : LocalVolModelBuilder(std::vector<Handle<YieldTermStructure>>{curve},
                               std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess>>{process}, simulationDates,
                               addDates, timeStepsPerYear, lvType, calibrationMoneyness, dontCalibrate) {}
 
    std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess>> getCalibratedProcesses() const override;
 
protected:
    std::vector<std::vector<Real>> getCurveTimes() const override;
    std::vector<std::vector<std::pair<Real, Real>>> getVolTimesStrikes() const override;
 
private:
    const Type lvType_;
    const std::vector<Real> calibrationMoneyness_;
    const bool dontCalibrate_;
};
 
} // namespace data
} // namespace ore