swaptionvolcurve.cpp

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/*
 Copyright (C) 2016 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.
*/
 
#include <algorithm>
#include <ored/marketdata/swaptionvolcurve.hpp>
 
using namespace QuantLib;
using namespace std;
 
namespace ore {
namespace data {
 
SwaptionVolCurve::SwaptionVolCurve(Date asof, SwaptionVolatilityCurveSpec spec, const Loader& loader,
                                   const CurveConfigurations& curveConfigs,
                                   const map<string, QuantLib::ext::shared_ptr<SwapIndex>>& requiredSwapIndices,
                                   const map<string, QuantLib::ext::shared_ptr<GenericYieldVolCurve>>& requiredVolCurves,
                                   const bool buildCalibrationInfo)
    : GenericYieldVolCurve(
          asof, loader, curveConfigs, curveConfigs.swaptionVolCurveConfig(spec.curveConfigID()), requiredSwapIndices,
          requiredVolCurves,
          [](const QuantLib::ext::shared_ptr<MarketDatum>& md, Period& expiry, Period& term) -> bool {
              QuantLib::ext::shared_ptr<SwaptionQuote> q = QuantLib::ext::dynamic_pointer_cast<SwaptionQuote>(md);
              if (q == nullptr)
                  return false;
              expiry = q->expiry();
              term = q->term();
              return q->dimension() == "ATM" && q->instrumentType() == MarketDatum::InstrumentType::SWAPTION;
          },
          [](const QuantLib::ext::shared_ptr<MarketDatum>& md, Period& expiry, Period& term, Real& strike) {
              QuantLib::ext::shared_ptr<SwaptionQuote> q = QuantLib::ext::dynamic_pointer_cast<SwaptionQuote>(md);
              if (q == nullptr)
                  return false;
              expiry = q->expiry();
              term = q->term();
              strike = q->strike();
              return q->dimension() == "Smile" && q->instrumentType() == MarketDatum::InstrumentType::SWAPTION;
          },
          [](const QuantLib::ext::shared_ptr<MarketDatum>& md, Period& term) {
              QuantLib::ext::shared_ptr<SwaptionShiftQuote> q = QuantLib::ext::dynamic_pointer_cast<SwaptionShiftQuote>(md);
              if (q == nullptr)
                  return false;
              term = q->term();
              return true;
          },
          buildCalibrationInfo),
      spec_(spec) {}
 
} // namespace data
} // namespace ore