blackvariancesurfacestddevs.hpp

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/*
 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 blackvariancesurfacestddevs.hpp
 \brief Black volatility surface modeled as variance surface
 */
 
#ifndef quantext_black_variance_surface_stddevs_hpp
#define quantext_black_variance_surface_stddevs_hpp
 
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <qle/indexes/eqfxindexbase.hpp>
#include <qle/termstructures/blackvariancesurfacemoneyness.hpp>
#include <qle/interpolators/optioninterpolator2d.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
//! Black volatility surface based on forward moneyness
//! \ingroup termstructures
class BlackVarianceSurfaceStdDevs : public BlackVarianceSurfaceMoneyness {
public:
    BlackVarianceSurfaceStdDevs(const Calendar& cal, const Handle<Quote>& spot, const std::vector<Time>& times,
                                const std::vector<Real>& stdDevs,
                                const std::vector<std::vector<Handle<Quote> > >& blackVolMatrix,
                                const DayCounter& dayCounter, const QuantLib::ext::shared_ptr<EqFxIndexBase>& index,
                                bool stickyStrike = false, bool flatExtrapMoneyness = false);
 
    // A method that takes a reference to a vector of vector of quotes (that will be populated), termstructure,
    // expiry times, and standard deviation points. Fills the quotes with the correct points from the termstructure.
    // Inputs: - termStructre       - the BlackVolTermStructure from which to get the values.
    //         - quotesToPopulate   - vector of vector of quotes, matching the given expiries and std dev points.
    //         - expiries & stdDevPoints   - the points matching the quotesToPopulate axes.
    //         - fowardCurve & atmVolCurve - forward curve and atm vol curve, used in the calcs for strike values.
    static void populateVolMatrix(const QuantLib::Handle<QuantLib::BlackVolTermStructure>& termStructre,
                                  std::vector<std::vector<Handle<QuantLib::Quote> > >& quotesToPopulate,
                                  const std::vector<Real>& times, const std::vector<Real>& stdDevPoints,
                                  const QuantLib::Interpolation& forwardCurve,
                                  const QuantLib::Interpolation atmVolCurve);
 
private:
    virtual Real moneyness(Time t, Real strike) const override;
    QuantLib::ext::shared_ptr<EqFxIndexBase> index_;
    std::vector<Real> forwards_; // cache fwd values if StickyStrike==true
    Interpolation forwardCurve_;
    Interpolation atmVarCurve_;
    std::vector<Time> atmTimes_;
    std::vector<Real> atmVariances_;
    bool flatExtrapolateMoneyness_; // flatly extrapolate on moneyness axis
};
 
} // namespace QuantExt
 
#endif