todaysmarketcalibrationinfo.hpp

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/*
 Copyright (C) 2021 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 marketdata/todaysmarketcalibrationinfo.hpp
    \brief a container holding information on calibration results during the t0 market build
    \ingroup marketdata
*/
 
#pragma once
 
#include <ql/math/array.hpp>
#include <ql/time/date.hpp>
#include <ql/time/period.hpp>
#include <ql/utilities/null.hpp>
 
#include <map>
#include <string>
#include <vector>
 
namespace ore {
namespace data {
 
// yield curves
 
struct YieldCurveCalibrationInfo {
    virtual ~YieldCurveCalibrationInfo() {}
 
    // default periods to determine pillarDates relative to asof
    const static std::vector<QuantLib::Period> defaultPeriods;
 
    std::string dayCounter;
    std::string currency;
 
    std::vector<QuantLib::Date> pillarDates;
    std::vector<double> zeroRates;
    std::vector<double> discountFactors;
    std::vector<double> times;
};
 
struct PiecewiseYieldCurveCalibrationInfo : public YieldCurveCalibrationInfo {
    // ... add instrument types?
};
 
struct FittedBondCurveCalibrationInfo : public YieldCurveCalibrationInfo {
    std::string fittingMethod;
    std::vector<double> solution;
    int iterations = 0;
    double costValue = QuantLib::Null<QuantLib::Real>();
    double tolerance = QuantLib::Null<QuantLib::Real>();
    std::vector<std::string> securities;
    std::vector<QuantLib::Date> securityMaturityDates;
    std::vector<double> marketPrices;
    std::vector<double> modelPrices;
    std::vector<double> marketYields;
    std::vector<double> modelYields;
};
 
// inflation curves
 
struct InflationCurveCalibrationInfo {
    virtual ~InflationCurveCalibrationInfo() {}
    std::string dayCounter;
    std::string calendar;
    QuantLib::Date baseDate;
    std::vector<QuantLib::Date> pillarDates;
    std::vector<double> times;
};
 
struct ZeroInflationCurveCalibrationInfo : public InflationCurveCalibrationInfo {
    double baseCpi = 0.0;
    std::vector<double> zeroRates;
    std::vector<double> forwardCpis;
};
 
struct YoYInflationCurveCalibrationInfo : public InflationCurveCalibrationInfo {
    std::vector<double> yoyRates;
};
 
// commodity curves
 
struct CommodityCurveCalibrationInfo {
    virtual ~CommodityCurveCalibrationInfo() = default;
    std::string dayCounter;
    std::string calendar;
    std::string currency;
    std::string interpolationMethod;
    std::vector<QuantLib::Date> pillarDates;
    std::vector<QuantLib::Real> futurePrices;
    std::vector<QuantLib::Real> times;
};
 
// fx, eq vols
 
struct FxEqCommVolCalibrationInfo {
    virtual ~FxEqCommVolCalibrationInfo() {}
    std::string dayCounter;
    std::string calendar;
    std::string atmType;
    std::string deltaType;
    std::string longTermAtmType;
    std::string longTermDeltaType;
    std::string switchTenor;
    std::string riskReversalInFavorOf;
    std::string butterflyStyle;
    bool isArbitrageFree;
    std::vector<QuantLib::Date> expiryDates;
    std::vector<double> times;
    std::vector<std::string> deltas;
    std::vector<double> moneyness;
    std::vector<double> forwards;
    std::vector<std::vector<double>> moneynessGridStrikes;
    std::vector<std::vector<double>> moneynessGridProb;
    std::vector<std::vector<double>> moneynessGridImpliedVolatility;
    std::vector<std::vector<double>> deltaGridStrikes;
    std::vector<std::vector<double>> deltaGridProb;
    std::vector<std::vector<double>> deltaGridImpliedVolatility;
    std::vector<std::vector<double>> deltaCallPrices;
    std::vector<std::vector<double>> deltaPutPrices;
    std::vector<std::vector<double>> moneynessCallPrices;
    std::vector<std::vector<double>> moneynessPutPrices;
    std::vector<std::vector<bool>> moneynessGridCallSpreadArbitrage;
    std::vector<std::vector<bool>> moneynessGridButterflyArbitrage;
    std::vector<std::vector<bool>> moneynessGridCalendarArbitrage;
    std::vector<std::vector<bool>> deltaGridCallSpreadArbitrage;
    std::vector<std::vector<bool>> deltaGridButterflyArbitrage;
    std::vector<std::string> messages;
};
 
// ir vols
 
struct IrVolCalibrationInfo {
    virtual ~IrVolCalibrationInfo() {}
    std::string dayCounter;
    std::string calendar;
    bool isArbitrageFree;
    std::vector<QuantLib::Date> expiryDates;
    std::vector<QuantLib::Period> underlyingTenors;
    std::string volatilityType;
    std::vector<double> times;
    std::vector<double> strikeSpreads;
    std::vector<double> strikes;
    std::vector<std::vector<double>> forwards;
    std::vector<std::vector<std::vector<double>>> strikeSpreadGridStrikes;
    std::vector<std::vector<std::vector<double>>> strikeSpreadGridProb;
    std::vector<std::vector<std::vector<double>>> strikeSpreadGridImpliedVolatility;
    std::vector<std::vector<std::vector<double>>> strikeGridStrikes;
    std::vector<std::vector<std::vector<double>>> strikeGridProb;
    std::vector<std::vector<std::vector<double>>> strikeGridImpliedVolatility;
    std::vector<std::vector<std::vector<bool>>> strikeSpreadGridCallSpreadArbitrage;
    std::vector<std::vector<std::vector<bool>>> strikeSpreadGridButterflyArbitrage;
    std::vector<std::vector<std::vector<bool>>> strikeGridCallSpreadArbitrage;
    std::vector<std::vector<std::vector<bool>>> strikeGridButterflyArbitrage;
    std::vector<std::string> messages;
};
 
// main container
 
struct TodaysMarketCalibrationInfo {
    QuantLib::Date asof;
    // discount, index and yield curves
    std::map<std::string, QuantLib::ext::shared_ptr<YieldCurveCalibrationInfo>> yieldCurveCalibrationInfo;
    // equity dividend yield curves
    std::map<std::string, QuantLib::ext::shared_ptr<YieldCurveCalibrationInfo>> dividendCurveCalibrationInfo;
    // inflation curves
    std::map<std::string, QuantLib::ext::shared_ptr<InflationCurveCalibrationInfo>> inflationCurveCalibrationInfo;
    // commodity curves
    std::map<std::string, QuantLib::ext::shared_ptr<CommodityCurveCalibrationInfo>> commodityCurveCalibrationInfo;
    // fx vols
    std::map<std::string, QuantLib::ext::shared_ptr<FxEqCommVolCalibrationInfo>> fxVolCalibrationInfo;
    // eq vols
    std::map<std::string, QuantLib::ext::shared_ptr<FxEqCommVolCalibrationInfo>> eqVolCalibrationInfo;
    // ir vols (swaption, capfloor)
    std::map<std::string, QuantLib::ext::shared_ptr<IrVolCalibrationInfo>> irVolCalibrationInfo;
    // comm vols
    std::map<std::string, QuantLib::ext::shared_ptr<FxEqCommVolCalibrationInfo>> commVolCalibrationInfo;
};
 
} // namespace data
} // namespace ore