blackvolsurfaceabsolute.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 blackvolsurfaceabsolute.hpp
    \brief Black volatility surface based on absolute quotes
*/
 
#pragma once
 
#include <ql/experimental/fx/deltavolquote.hpp>
#include <ql/math/interpolation.hpp>
#include <ql/option.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
 
namespace QuantExt {
 
using namespace QuantLib;
 
class BlackVolatilitySurfaceAbsolute : public  BlackVolatilityTermStructure{
public:
    enum class SmileInterpolation { Linear, Cubic };
    BlackVolatilitySurfaceAbsolute(
        Date referenceDate, const std::vector<Date>& dates, const std::vector<std::vector<Real>>& strikes,
        const std::vector<std::vector<Real>>& strikeQuotes, const DayCounter& dayCounter, const Calendar& calendar,
        const Handle<Quote>& spot, const Size spotDays, const Calendar spotCalendar,
        const Handle<YieldTermStructure>& domesticTS, const Handle<YieldTermStructure>& foreignTS,
        const DeltaVolQuote::DeltaType dt = DeltaVolQuote::DeltaType::Spot,
        const DeltaVolQuote::AtmType at = DeltaVolQuote::AtmType::AtmDeltaNeutral,
        const Period& switchTenor = 2 * Years, const DeltaVolQuote::DeltaType ltdt = DeltaVolQuote::DeltaType::Fwd,
        const DeltaVolQuote::AtmType ltat = DeltaVolQuote::AtmType::AtmDeltaNeutral,
        const SmileInterpolation smileInterpolation = SmileInterpolation::Cubic, const bool flatExtrapolation = true);
 
    Date maxDate() const override { return Date::maxDate(); }
    Real minStrike() const override { return 0; }
    Real maxStrike() const override { return QL_MAX_REAL; }
 
    const std::vector<QuantLib::Date>& dates() const { return dates_; }
    const std::vector<std::vector<Real>>& strikes() const { return strikes_; }
    const std::vector<std::vector<Real>>& strikeQuotes() const { return strikeQuotes_; }
    const Handle<Quote>& spot() const { return spot_; }
    const Handle<YieldTermStructure>& domesticTS() const { return domesticTS_; }
    const Handle<YieldTermStructure>& foreignTS() const { return foreignTS_; }
    DeltaVolQuote::DeltaType deltaType() const { return dt_; }
    DeltaVolQuote::AtmType atmType() const { return at_; }
    const Period& switchTenor() const { return switchTenor_; }
    DeltaVolQuote::DeltaType longTermDeltaType() const { return ltdt_; }
    DeltaVolQuote::AtmType longTermAtmType() const { return ltat_; }
    SmileInterpolation smileInterpolation() const { return smileInterpolation_; }
 
private:
    Volatility blackVolImpl(Time t, Real strike) const override;
    void update() override;
 
    std::vector<Date> dates_;
    std::vector<std::vector<Real>> strikes_;
    std::vector<std::vector<Real>> strikeQuotes_;
    Handle<Quote> spot_;
    Size spotDays_;
    Calendar spotCalendar_;
    Handle<YieldTermStructure> domesticTS_;
    Handle<YieldTermStructure> foreignTS_;
    DeltaVolQuote::DeltaType dt_;
    DeltaVolQuote::AtmType at_;
    Period switchTenor_;
    DeltaVolQuote::DeltaType ltdt_;
    DeltaVolQuote::AtmType ltat_;
    SmileInterpolation smileInterpolation_;
    std::vector<QuantLib::ext::shared_ptr<Interpolation>> interpolation_;
    bool flatExtrapolation_;
 
    mutable std::vector<Real> expiryTimes_;
    mutable std::vector<Date> settlementDates_;
    mutable std::map<std::pair<Real, Real>, Real> cachedInterpolatedVols_;
};
 
} // namespace QuantExt