Logo
Fully annotated reference manual - version 1.8.12
Loading...
Searching...
No Matches
utilities.cpp
Go to the documentation of this file.
1/*
2 Copyright (C) 2016 Quaternion Risk Management Ltd
3 All rights reserved.
4
5 This file is part of ORE, a free-software/open-source library
6 for transparent pricing and risk analysis - http://opensourcerisk.org
7
8 ORE is free software: you can redistribute it and/or modify it
9 under the terms of the Modified BSD License. You should have received a
10 copy of the license along with this program.
11 The license is also available online at <http://opensourcerisk.org>
12
13 This program is distributed on the basis that it will form a useful
14 contribution to risk analytics and model standardisation, but WITHOUT
15 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
16 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
17*/
18
19#include <ored/model/utilities.hpp>
20#include <ored/utilities/log.hpp>
21
22#include <qle/models/cpicapfloorhelper.hpp>
23#include <qle/models/fxeqoptionhelper.hpp>
24#include <qle/models/futureoptionhelper.hpp>
25#include <qle/models/yoycapfloorhelper.hpp>
26#include <qle/models/yoyswaphelper.hpp>
27
28#include <ql/exercise.hpp>
29#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>
30
31using QuantExt::InfJyParameterization;
32using std::map;
33using std::ostringstream;
34using std::right;
35using std::setprecision;
36using std::setw;
37using std::string;
38using std::vector;
39
40namespace ore {
41namespace data {
42
43namespace {
44Real impliedVolatility(const QuantLib::ext::shared_ptr<BlackCalibrationHelper>& h) {
45 try {
46 Real minVol, maxVol;
47 if (h->volatilityType() == QuantLib::ShiftedLognormal) {
48 minVol = 1.0e-7;
49 maxVol = 4.0;
50 } else {
51 minVol = 1.0e-7;
52 maxVol = 0.05;
53 }
54 return h->impliedVolatility(h->modelValue(), 1e-4, 1000, minVol, maxVol);
55 } catch (...) {
56 // vol could not be implied, return 0.0
57 return 0.0;
58 }
59}
60
61// Struct to store some helper values needed below when printing out calibration details.
62struct HelperValues {
63 Real modelValue;
64 Real marketValue;
65 Real error;
66 Time maturity;
67};
68
69// Deal with possible JY inflation helpers. Use Date key to order the results so as to avoid re-calculating the
70// time in the parameterisation.
71map<Date, HelperValues> jyHelperValues(const vector<QuantLib::ext::shared_ptr<CalibrationHelper>>& cb, const Array& times) {
72
73 map<Date, HelperValues> result;
74
75 for (const auto& ci : cb) {
76
77 if (QuantLib::ext::shared_ptr<CpiCapFloorHelper> h = QuantLib::ext::dynamic_pointer_cast<CpiCapFloorHelper>(ci)) {
78 HelperValues hv;
79 hv.modelValue = h->modelValue();
80 hv.marketValue = h->marketValue();
81 hv.error = hv.modelValue - hv.marketValue;
82 auto d = h->instrument()->fixingDate();
83 result[d] = hv;
84 continue;
85 }
86
87 if (QuantLib::ext::shared_ptr<YoYCapFloorHelper> h = QuantLib::ext::dynamic_pointer_cast<YoYCapFloorHelper>(ci)) {
88 HelperValues hv;
89 hv.modelValue = h->modelValue();
90 hv.marketValue = h->marketValue();
91 hv.error = hv.modelValue - hv.marketValue;
92 auto d = h->yoyCapFloor()->lastYoYInflationCoupon()->fixingDate();
93 result[d] = hv;
94 continue;
95 }
96
97 if (QuantLib::ext::shared_ptr<YoYSwapHelper> h = QuantLib::ext::dynamic_pointer_cast<YoYSwapHelper>(ci)) {
98 HelperValues hv;
99 hv.modelValue = h->modelRate();
100 hv.marketValue = h->marketRate();
101 hv.error = hv.modelValue - hv.marketValue;
102 auto d = h->yoySwap()->maturityDate();
103 result[d] = hv;
104 continue;
105 }
106
107 QL_FAIL("Expected JY calibration instruments to be one of: CPI cap floor, YoY cap floor or YoY swap.");
108 }
109
110 QL_REQUIRE(result.size() == times.size() + 1, "Expected JY times to be 1 less the number of instruments.");
111
112 Size ctr = 0;
113 for (auto& kv : result) {
114 if (ctr < times.size())
115 kv.second.maturity = times[ctr++];
116 else
117 kv.second.maturity = times.empty() ? 0.0 : times.back();
118 }
119
120 return result;
121}
122
123} // namespace
124
125std::string getCalibrationDetails(LgmCalibrationInfo& info,
126 const std::vector<QuantLib::ext::shared_ptr<BlackCalibrationHelper>>& basket,
127 const QuantLib::ext::shared_ptr<IrLgm1fParametrization>& parametrization) {
128 std::ostringstream log;
129 log << std::right << std::setw(3) << "#" << std::setw(14) << "time" << std::setw(14) << "modelVol" << std::setw(14)
130 << "marketVol" << std::setw(14) << "(diff)" << std::setw(14) << "modelValue" << std::setw(14) << "marketValue"
131 << std::setw(14) << "(diff)" << std::setw(14) << "irlgm1fAlpha" << std::setw(14) << "irlgm1fKappa"
132 << std::setw(16) << "irlgm1fHwSigma\n";
133 Real t = 0.0, modelAlpha = 0.0, modelKappa = 0.0, modelHwSigma = 0.0;
134 info.lgmCalibrationData.clear();
135 for (Size j = 0; j < basket.size(); j++) {
136 Real modelValue = basket[j]->modelValue();
137 Real marketValue = basket[j]->marketValue();
138 Real valueDiff = modelValue - marketValue;
139 Volatility modelVol = 0, marketVol = 0, volDiff = 0;
140 QuantLib::ext::shared_ptr<SwaptionHelper> swaption = QuantLib::ext::dynamic_pointer_cast<SwaptionHelper>(basket[j]);
141 if (swaption != nullptr && parametrization != nullptr) {
142 // report alpha, kappa at t_expiry^-
143 t = parametrization->termStructure()->timeFromReference(swaption->swaption()->exercise()->date(0));
144 modelAlpha = parametrization->alpha(t - 1E-4);
145 modelKappa = parametrization->kappa(t - 1E-4);
146 modelHwSigma = parametrization->hullWhiteSigma(t - 1E-4);
147 }
148 // TODO handle other calibration helpers, too (capfloor)
149 marketVol = basket[j]->volatility()->value();
150 modelVol = impliedVolatility(basket[j]);
151 volDiff = modelVol - marketVol;
152 log << std::setw(3) << j << std::setprecision(6) << std::setw(14) << t << std::setw(14) << modelVol
153 << std::setw(14) << marketVol << std::setw(14) << volDiff << std::setw(14) << modelValue << std::setw(14)
154 << marketValue << std::setw(14) << valueDiff << std::setw(14) << modelAlpha << std::setw(14) << modelKappa
155 << std::setw(16) << modelHwSigma << "\n";
156 info.lgmCalibrationData.push_back(
157 LgmCalibrationData{t, modelVol, marketVol, modelValue, marketValue, modelAlpha, modelKappa, modelHwSigma});
158 }
159 if (parametrization != nullptr) {
160 // report alpha, kappa at t_expiry^+ for last expiry
161 modelAlpha = parametrization->alpha(t + 1E-4);
162 modelKappa = parametrization->kappa(t + 1E-4);
163 modelHwSigma = parametrization->hullWhiteSigma(t + 1E-4);
164 }
165 log << "t >= " << t << ": irlgm1fAlpha = " << modelAlpha << " irlgm1fKappa = " << modelKappa
166 << " irlgm1fHwSigma = " << modelHwSigma << "\n";
167 return log.str();
168}
169
170std::string getCalibrationDetails(const std::vector<QuantLib::ext::shared_ptr<BlackCalibrationHelper>>& basket,
171 const QuantLib::ext::shared_ptr<FxBsParametrization>& parametrization,
172 const QuantLib::ext::shared_ptr<Parametrization>& domesticIrModel) {
173 auto lgmParametrization = QuantLib::ext::dynamic_pointer_cast<IrLgm1fParametrization>(domesticIrModel);
174 if (lgmParametrization) {
175 return getCalibrationDetails(basket, parametrization, lgmParametrization);
176 } else {
177 return std::string();
178 }
179}
180
181std::string getCalibrationDetails(const std::vector<QuantLib::ext::shared_ptr<BlackCalibrationHelper>>& basket,
182 const QuantLib::ext::shared_ptr<FxBsParametrization>& parametrization,
183 const QuantLib::ext::shared_ptr<IrLgm1fParametrization>& domesticLgm) {
184 std::ostringstream log;
185 log << std::right << std::setw(3) << "#" << std::setw(14) << "time" << std::setw(14) << "modelVol" << std::setw(14)
186 << "marketVol" << std::setw(14) << "(diff)" << std::setw(14) << "modelValue" << std::setw(14) << "marketValue"
187 << std::setw(14) << "(diff)" << std::setw(14) << "fxbsSigma\n";
188 Real t = 0.0, modelSigma = 0.0;
189 for (Size j = 0; j < basket.size(); j++) {
190 Real modelValue = basket[j]->modelValue();
191 Real marketValue = basket[j]->marketValue();
192 Real valueDiff = modelValue - marketValue;
193 Volatility modelVol = 0, marketVol = 0, volDiff = 0;
194 QuantLib::ext::shared_ptr<FxEqOptionHelper> fxoption = QuantLib::ext::dynamic_pointer_cast<FxEqOptionHelper>(basket[j]);
195 if (fxoption != nullptr && parametrization != nullptr && domesticLgm != nullptr) {
196 // report alpha, kappa at t_expiry^-
197 t = domesticLgm->termStructure()->timeFromReference(fxoption->option()->exercise()->date(0));
198 modelSigma = parametrization->sigma(t - 1E-4);
199 }
200 marketVol = basket[j]->volatility()->value();
201 modelVol = impliedVolatility(basket[j]);
202 volDiff = modelVol - marketVol;
203 log << std::setw(3) << j << std::setprecision(6) << std::setw(14) << t << std::setw(14) << modelVol
204 << std::setw(14) << marketVol << std::setw(14) << volDiff << std::setw(14) << modelValue << std::setw(14)
205 << marketValue << std::setw(14) << valueDiff << std::setw(14) << modelSigma << "\n";
206 }
207 if (parametrization != nullptr) {
208 // report alpha, kappa at t_expiry^+ for last expiry
209 modelSigma = parametrization->sigma(t + 1E-4);
210 }
211 log << "t >= " << t << ": fxbsSigma = " << modelSigma << "\n";
212 return log.str();
213}
214
215std::string getCalibrationDetails(const std::vector<QuantLib::ext::shared_ptr<BlackCalibrationHelper>>& basket,
216 const QuantLib::ext::shared_ptr<EqBsParametrization>& parametrization,
217 const QuantLib::ext::shared_ptr<Parametrization>& domesticIrModel) {
218 auto lgmParametrization = QuantLib::ext::dynamic_pointer_cast<IrLgm1fParametrization>(parametrization);
219 if (lgmParametrization) {
220 return getCalibrationDetails(basket, parametrization, lgmParametrization);
221 } else {
222 return std::string();
223 }
224}
225
226std::string getCalibrationDetails(const std::vector<QuantLib::ext::shared_ptr<BlackCalibrationHelper>>& basket,
227 const QuantLib::ext::shared_ptr<EqBsParametrization>& parametrization,
228 const QuantLib::ext::shared_ptr<IrLgm1fParametrization>& domesticLgm) {
229 std::ostringstream log;
230 log << std::right << std::setw(3) << "#" << std::setw(14) << "time" << std::setw(14) << "modelVol" << std::setw(14)
231 << "marketVol" << std::setw(14) << "(diff)" << std::setw(14) << "modelValue" << std::setw(14) << "marketValue"
232 << std::setw(14) << "(diff)" << std::setw(14) << "eqbsSigma\n";
233 Real t = 0.0, modelSigma = 0.0;
234 for (Size j = 0; j < basket.size(); j++) {
235 Real modelValue = basket[j]->modelValue();
236 Real marketValue = basket[j]->marketValue();
237 Real valueDiff = modelValue - marketValue;
238 Volatility modelVol = 0, marketVol = 0, volDiff = 0;
239 QuantLib::ext::shared_ptr<FxEqOptionHelper> eqoption = QuantLib::ext::dynamic_pointer_cast<FxEqOptionHelper>(basket[j]);
240 if (eqoption != nullptr && parametrization != nullptr && domesticLgm != nullptr) {
241 t = domesticLgm->termStructure()->timeFromReference(eqoption->option()->exercise()->date(0));
242 modelSigma = parametrization->sigma(t - 1E-4);
243 }
244 marketVol = basket[j]->volatility()->value();
245 modelVol = impliedVolatility(basket[j]);
246 volDiff = modelVol - marketVol;
247 log << std::setw(3) << j << std::setprecision(6) << std::setw(14) << t << std::setw(14) << modelVol
248 << std::setw(14) << marketVol << std::setw(14) << volDiff << std::setw(14) << modelValue << std::setw(14)
249 << marketValue << std::setw(14) << valueDiff << std::setw(14) << modelSigma << "\n";
250 }
251 if (parametrization != nullptr) {
252 modelSigma = parametrization->sigma(t + 1E-4);
253 }
254 log << "t >= " << t << ": eqbsSigma = " << modelSigma << "\n";
255 return log.str();
256}
257
258std::string getCalibrationDetails(const std::vector<QuantLib::ext::shared_ptr<BlackCalibrationHelper>>& basket,
259 const QuantLib::ext::shared_ptr<CommoditySchwartzParametrization>& parametrization) {
260 std::ostringstream log;
261 log << std::right << std::setw(3) << "#" << std::setw(14) << "time" << std::setw(14) << "modelVol" << std::setw(14)
262 << "marketVol" << std::setw(14) << "(diff)" << std::setw(14) << "modelValue" << std::setw(14) << "marketValue"
263 << std::setw(14) << "(diff)" << std::setw(14) << "Sigma" << setw(14) << "Kappa\n";
264 Real t = 0.0;
265 Real modelSigma = parametrization->sigmaParameter();
266 Real modelKappa = parametrization->kappaParameter();
267 for (Size j = 0; j < basket.size(); j++) {
268 Real modelValue = basket[j]->modelValue();
269 Real marketValue = basket[j]->marketValue();
270 Real valueDiff = modelValue - marketValue;
271 Volatility modelVol = 0, marketVol = 0, volDiff = 0;
272 QuantLib::ext::shared_ptr<FutureOptionHelper> option = QuantLib::ext::dynamic_pointer_cast<FutureOptionHelper>(basket[j]);
273 if (option != nullptr && parametrization != nullptr) {
274 t = option->priceCurve()->timeFromReference(option->option()->exercise()->date(0));
275 //modelSigma = parametrization->sigma(t - 1E-4);
276 }
277 marketVol = basket[j]->volatility()->value();
278 modelVol = impliedVolatility(basket[j]);
279 volDiff = modelVol - marketVol;
280 log << std::setw(3) << j << std::setprecision(6) << std::setw(14) << t << std::setw(14) << modelVol
281 << std::setw(14) << marketVol << std::setw(14) << volDiff << std::setw(14) << modelValue << std::setw(14)
282 << marketValue << std::setw(14) << valueDiff << std::setw(14) << modelSigma << " " << modelKappa << "\n";
283 }
284 if (parametrization != nullptr) {
285 modelSigma = parametrization->sigma(t + 1E-4);
286 }
287 log << "t >= " << t << ": Sigma = " << modelSigma << ", Kappa = " << modelKappa << "\n";
288 return log.str();
289}
290
291std::string getCalibrationDetails(const std::vector<QuantLib::ext::shared_ptr<BlackCalibrationHelper>>& basket,
292 const QuantLib::ext::shared_ptr<InfDkParametrization>& parametrization,
293 bool indexIsInterpolated) {
294 std::ostringstream log;
295 log << std::right << std::setw(3) << "#" << std::setw(14) << "time" << std::setw(14) << "modelValue"
296 << std::setw(14) << "marketValue" << std::setw(14) << "(diff)" << std::setw(14) << "infdkAlpha" << std::setw(14)
297 << "infdkH\n";
298 Real t = 0.0, modelAlpha = 0.0, modelH = 0.0;
299 for (Size j = 0; j < basket.size(); j++) {
300 Real modelValue = basket[j]->modelValue();
301 Real marketValue = basket[j]->marketValue();
302 Real valueDiff = (modelValue - marketValue);
303 QuantLib::ext::shared_ptr<CpiCapFloorHelper> instr = QuantLib::ext::dynamic_pointer_cast<CpiCapFloorHelper>(basket[j]);
304 if (instr != nullptr && parametrization != nullptr) {
305 // report alpha, H at t_expiry^-
306 t = inflationYearFraction(
307 parametrization->termStructure()->frequency(), indexIsInterpolated,
308 parametrization->termStructure()->dayCounter(), parametrization->termStructure()->baseDate(),
309 instr->instrument()->payDate() - parametrization->termStructure()->observationLag());
310 modelAlpha = parametrization->alpha(t - 1.0 / 250.0);
311 modelH = parametrization->H(t - 1.0 / 250.0);
312 }
313 // TODO handle other calibration helpers, too (capfloor)
314 log << std::setw(3) << j << std::setprecision(6) << std::setw(14) << t << std::setw(14) << modelValue
315 << std::setw(14) << marketValue << std::setw(14) << valueDiff << std::setw(14) << modelAlpha
316 << std::setw(14) << modelH << "\n";
317 }
318 if (parametrization != nullptr) {
319 // report alpha, kappa at t_expiry^+ for last expiry
320 modelAlpha = parametrization->alpha(t + 1.0 / 250.0);
321 modelH = parametrization->H(t + 1.0 / 2500.0);
322 }
323 log << "t >= " << t << ": infDkAlpha = " << modelAlpha << " infDkH = " << modelH << "\n";
324 return log.str();
325}
326
327string getCalibrationDetails(const vector<QuantLib::ext::shared_ptr<CalibrationHelper>>& rrBasket,
328 const vector<QuantLib::ext::shared_ptr<CalibrationHelper>>& idxBasket,
329 const QuantLib::ext::shared_ptr<InfJyParameterization>& p, bool calibrateRealRateVol) {
330
331 ostringstream log;
332 Real epsTime = 0.0001;
333
334 // Real rate basket: if it has instruments, the real rate was calibrated.
335 if (!rrBasket.empty()) {
336
337 // Header rows
338 log << "Real rate calibration:\n";
339 log << right << setw(3) << "#" << setw(5) << "](-" << setw(12) << "inst_date" << setw(12) << "time" << setw(14)
340 << "modelValue" << setw(14) << "marketValue" << setw(14) << "(diff)" << setw(14) << "infJyAlpha" << setw(14)
341 << "infJyH\n";
342
343 // Parameter values for corresponding to maturity of each instrument
344 Array times = calibrateRealRateVol ? p->realRate()->parameterTimes(0) : p->realRate()->parameterTimes(1);
345 auto helperValues = jyHelperValues(rrBasket, times);
346 Size ctr = 0;
347 Time t = 0.0;
348 for (const auto& kv : helperValues) {
349 auto hv = kv.second;
350 t = hv.maturity - epsTime;
351 string bound = "<=";
352 if (helperValues.size() == 1) {
353 bound = " -";
354 } else if (ctr == helperValues.size() - 1) {
355 t += 2 * epsTime;
356 bound = " >";
357 }
358 auto alpha = p->realRate()->alpha(t);
359 auto h = p->realRate()->H(t);
360 log << setw(3) << ctr++ << setw(5) << bound << setw(6) << io::iso_date(kv.first) << setprecision(6)
361 << setw(12) << hv.maturity << setw(14) << hv.modelValue << setw(14) << hv.marketValue << setw(14)
362 << hv.error << setw(14) << alpha << setw(14) << h << "\n";
363 }
364 }
365
366 // Inflation index basket: if it has instruments, the inflation index was calibrated.
367 if (!idxBasket.empty()) {
368
369 // Header rows
370 log << "Inflation index calibration:\n";
371 log << right << setw(3) << "#" << setw(5) << "](-" << setw(12) << "inst_date" << setw(12) << "time" << setw(14)
372 << "modelValue" << setw(14) << "marketValue" << setw(14) << "(diff)" << setw(14) << "infJySigma\n";
373
374 // Parameter values for corresponding to maturity of each instrument
375 Array times = p->index()->parameterTimes(0);
376 auto helperValues = jyHelperValues(idxBasket, times);
377 Size ctr = 0;
378 Time t = 0.0;
379 for (const auto& kv : helperValues) {
380 auto hv = kv.second;
381 t = hv.maturity - epsTime;
382 string bound = "<=";
383 if (helperValues.size() == 1) {
384 bound = " -";
385 } else if (ctr == helperValues.size() - 1) {
386 t += 2 * epsTime;
387 bound = " >";
388 }
389 auto sigma = p->index()->sigma(t);
390 log << setw(3) << ctr++ << setw(5) << bound << setw(6) << io::iso_date(kv.first) << setprecision(6)
391 << setw(12) << hv.maturity << setw(14) << hv.modelValue << setw(14) << hv.marketValue << setw(14)
392 << hv.error << setw(14) << sigma << "\n";
393 }
394 }
395
396 return log.str();
397}
398
399string getCalibrationDetails(const QuantLib::ext::shared_ptr<IrLgm1fParametrization>& parametrization) {
400 std::ostringstream log;
401
402 log << right << setw(3) << "#" << setw(14) << "time" << setw(14) << "irlgm1fAlpha" << setw(14)
403 << "irlgm1fHwSigma\n";
404 Real t = 0.0;
405 Size j = 0;
406 for (; j < parametrization->parameterTimes(0).size(); ++j) {
407 t = parametrization->parameterTimes(0)[j];
408 Real alpha = parametrization->alpha(t - 1E-4);
409 Real sigma = parametrization->hullWhiteSigma(t - 1E-4);
410 log << setw(3) << j << setprecision(6) << setw(14) << t << setw(14) << alpha << setw(14) << sigma << "\n";
411 }
412 log << setw(3) << j << setprecision(6) << setw(14) << (std::to_string(t) + "+") << setw(14)
413 << parametrization->alpha(t + 1E-4) << setw(14) << parametrization->hullWhiteSigma(t + 1E-4) << "\n";
414
415 log << right << setw(3) << "#" << setw(14) << "time" << setw(14) << "irlgm1fKappa" << setw(14) << "irlgm1fH\n";
416 t = 0.0;
417 j = 0;
418 for (; j < parametrization->parameterTimes(1).size(); ++j) {
419 t = parametrization->parameterTimes(0)[j];
420 Real kappa = parametrization->kappa(t - 1E-4);
421 Real H = parametrization->H(t - 1E-4);
422 log << setw(3) << j << setprecision(6) << setw(14) << t << setw(14) << kappa << setw(14) << H << "\n";
423 }
424 log << setw(3) << j << setprecision(6) << setw(14) << (std::to_string(t) + "+") << setw(14)
425 << parametrization->kappa(t + 1E-4) << setw(14) << parametrization->H(t + 1E-4) << "\n";
426
427 return log.str();
428}
429
430namespace {
431
432struct MaturityGetter : boost::static_visitor<Date> {
433
434 MaturityGetter(const Calendar& calendar, const Date& referenceDate)
435 : calendar(calendar), referenceDate(referenceDate) {}
436
437 Date operator()(const Date& d) const { return d; }
438
439 Date operator()(const Period& p) const { return calendar.advance(referenceDate, p); }
440
441 Calendar calendar;
442 Date referenceDate;
443};
444
445} // namespace
446
447Date optionMaturity(const boost::variant<Date, Period>& maturity, const QuantLib::Calendar& calendar,
448 const QuantLib::Date& referenceDate) {
449
450 return boost::apply_visitor(MaturityGetter(calendar, referenceDate), maturity);
451}
452
453Real cpiCapFloorStrikeValue(const QuantLib::ext::shared_ptr<BaseStrike>& strike,
454 const QuantLib::ext::shared_ptr<ZeroInflationTermStructure>& curve,
455 const QuantLib::Date& optionMaturityDate) {
456 if (auto abs = QuantLib::ext::dynamic_pointer_cast<AbsoluteStrike>(strike)) {
457 return abs->strike();
458 } else if (auto atm = QuantLib::ext::dynamic_pointer_cast<AtmStrike>(strike)) {
459 QL_REQUIRE(atm->atmType() == DeltaVolQuote::AtmFwd,
460 "only atm forward allowed as atm strike for cpi cap floors");
461 return curve->zeroRate(optionMaturityDate);
462 } else {
463 QL_FAIL("cpi cap floor strike type not supported, expected absolute strike or atm fwd strike, got '"
464 << strike->toString());
465 }
466}
467
468Real yoyCapFloorStrikeValue(const QuantLib::ext::shared_ptr<BaseStrike>& strike,
469 const QuantLib::ext::shared_ptr<YoYInflationTermStructure>& curve,
470 const QuantLib::Date& optionMaturityDate) {
471 if (auto abs = QuantLib::ext::dynamic_pointer_cast<AbsoluteStrike>(strike)) {
472 return abs->strike();
473 } else if (auto atm = QuantLib::ext::dynamic_pointer_cast<AtmStrike>(strike)) {
474 QL_REQUIRE(atm->atmType() == DeltaVolQuote::AtmFwd,
475 "only atm forward allowed as atm strike for cpi cap floors");
476 return curve->yoyRate(optionMaturityDate);
477 } else {
478 QL_FAIL("yoy cap floor strike type not supported, expected absolute strike or atm fwd strike, got '"
479 << strike->toString());
480 }
481}
482
483Real atmForward(const Real s0, const Handle<YieldTermStructure>& r, const Handle<YieldTermStructure>& q, const Real t) {
484 return s0 * q->discount(t) / r->discount(t);
485}
486
487} // namespace data
488} // namespace ore
log.hpp
Classes and functions for log message handling.
data
@ data
Definition: log.hpp:77
maturity
Time maturity
Definition: utilities.cpp:66
referenceDate
Date referenceDate
Definition: utilities.cpp:442
marketValue
Real marketValue
Definition: utilities.cpp:64
calendar
Calendar calendar
Definition: utilities.cpp:441
error
Real error
Definition: utilities.cpp:65
modelValue
Real modelValue
Definition: utilities.cpp:63
utilities.hpp
Shared utilities for model building and calibration.
QuantExt::log
RandomVariable log(RandomVariable x)
abs
RandomVariable abs(RandomVariable x)
ore::data::yoyCapFloorStrikeValue
Real yoyCapFloorStrikeValue(const QuantLib::ext::shared_ptr< BaseStrike > &strike, const QuantLib::ext::shared_ptr< YoYInflationTermStructure > &curve, const QuantLib::Date &optionMaturityDate)
Return a yoy cap/floor strike value, the input strike can be of type absolute or atm forward.
Definition: utilities.cpp:468
ore::data::size
Size size(const ValueType &v)
Definition: value.cpp:145
ore::data::atmForward
Real atmForward(const Real s0, const Handle< YieldTermStructure > &r, const Handle< YieldTermStructure > &q, const Real t)
helper function that computes the atm forward
Definition: utilities.cpp:483
ore::data::optionMaturity
Date optionMaturity(const boost::variant< Date, Period > &maturity, const QuantLib::Calendar &calendar, const QuantLib::Date &referenceDate)
Definition: utilities.cpp:447
ore::data::getCalibrationDetails
std::string getCalibrationDetails(LgmCalibrationInfo &info, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &basket, const QuantLib::ext::shared_ptr< IrLgm1fParametrization > &parametrization)
Definition: utilities.cpp:125
ore::data::cpiCapFloorStrikeValue
Real cpiCapFloorStrikeValue(const QuantLib::ext::shared_ptr< BaseStrike > &strike, const QuantLib::ext::shared_ptr< ZeroInflationTermStructure > &curve, const QuantLib::Date &optionMaturityDate)
Return a cpi cap/floor strike value, the input strike can be of type absolute or atm forward.
Definition: utilities.cpp:453
ore
Serializable Credit Default Swap.
Definition: namespaces.docs:23
QuantExt::LgmCalibrationInfo::lgmCalibrationData
std::vector< LgmCalibrationData > lgmCalibrationData
Generated by Doxygen 1.9.5