Cap/floor smile volatility surface. More...

#include <qle/termstructures/capfloortermvolsurface.hpp>

Inheritance diagram for CapFloorTermVolSurfaceExact:

Collaboration diagram for CapFloorTermVolSurfaceExact:

Public Types
enum	InterpolationMethod { BicubicSpline , Bilinear }

Public Member Functions
	CapFloorTermVolSurfaceExact (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed(), InterpolationMethod interpolationMethod=BicubicSpline)
	floating reference date, floating market data More...

	CapFloorTermVolSurfaceExact (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed(), InterpolationMethod interpolationMethod=BicubicSpline)
	fixed reference date, floating market data More...

	CapFloorTermVolSurfaceExact (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const Matrix &volatilities, const DayCounter &dc=Actual365Fixed(), InterpolationMethod interpolationMethod=BicubicSpline)
	fixed reference date, fixed market data More...

	CapFloorTermVolSurfaceExact (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const Matrix &volatilities, const DayCounter &dc=Actual365Fixed(), InterpolationMethod interpolationMethod=BicubicSpline)
	floating reference date, fixed market data More...

TermStructure interface
Date	maxDate () const override

VolatilityTermStructure interface
Real	minStrike () const override

Real	maxStrike () const override

LazyObject interface
void	update () override

void	performCalculations () const override

Public Member Functions inherited from CapFloorTermVolSurface
	CapFloorTermVolSurface (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	default constructor More...

	CapFloorTermVolSurface (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	initialize with a fixed reference date More...

	CapFloorTermVolSurface (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	calculate the reference date based on the global evaluation date More...

const std::vector< QuantLib::Period > &	optionTenors () const

const std::vector< QuantLib::Rate > &	strikes () const

void	update () override

void	performCalculations () const override

some inspectors
Size	nOptionTenors_

std::vector< Date >	optionDates_

std::vector< Time >	optionTimes_

Date	evaluationDate_

Size	nStrikes_

std::vector< std::vector< Handle< Quote > > >	volHandles_

Matrix	vols_

InterpolationMethod	interpolationMethod_

Interpolation2D	interpolation_

const std::vector< Date > &	optionDates () const

const std::vector< Time > &	optionTimes () const

InterpolationMethod	interpolationMethod () const

Volatility	volatilityImpl (Time t, Rate strike) const override

void	checkInputs () const

void	initializeOptionDatesAndTimes () const

void	registerWithMarketData ()

void	interpolate ()

Additional Inherited Members
Protected Attributes inherited from CapFloorTermVolSurface
std::vector< QuantLib::Period >	optionTenors_

std::vector< QuantLib::Rate >	strikes_

Detailed Description

Cap/floor smile volatility surface.

This class provides the volatility for a given cap/floor interpolating a volatility surface whose elements are the market term volatilities of a set of caps/floors with given length and given strike.

This is a copy of the QL CapFloorTermVolSurface but gives the option to use BiLinear instead of BiCubic Spline interpolation. Default is BiCubic Spline for backwards compatibility with QuantLib

Definition at line 93 of file capfloortermvolsurface.hpp.

Member Enumeration Documentation

◆ InterpolationMethod

enum InterpolationMethod

Enumerator
BicubicSpline
Bilinear

Definition at line 95 of file capfloortermvolsurface.hpp.

95{ BicubicSpline, Bilinear };

QuantExt::CapFloorTermVolSurfaceExact::BicubicSpline

@ BicubicSpline

Definition: capfloortermvolsurface.hpp:95

QuantExt::CapFloorTermVolSurfaceExact::Bilinear

@ Bilinear

Definition: capfloortermvolsurface.hpp:95

Constructor & Destructor Documentation

◆ CapFloorTermVolSurfaceExact() [1/4]

CapFloorTermVolSurfaceExact	(	Natural	settlementDays,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const std::vector< Period > &	optionTenors,
		const std::vector< Rate > &	strikes,
		const std::vector< std::vector< Handle< Quote > > > &	,
		const DayCounter &	dc = `Actual365Fixed()`,
		InterpolationMethod	interpolationMethod = `BicubicSpline`
	)

floating reference date, floating market data

◆ CapFloorTermVolSurfaceExact() [2/4]

CapFloorTermVolSurfaceExact	(	const Date &	settlementDate,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const std::vector< Period > &	optionTenors,
		const std::vector< Rate > &	strikes,
		const std::vector< std::vector< Handle< Quote > > > &	,
		const DayCounter &	dc = `Actual365Fixed()`,
		InterpolationMethod	interpolationMethod = `BicubicSpline`
	)

fixed reference date, floating market data

◆ CapFloorTermVolSurfaceExact() [3/4]

CapFloorTermVolSurfaceExact	(	const Date &	settlementDate,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const std::vector< Period > &	optionTenors,
		const std::vector< Rate > &	strikes,
		const Matrix &	volatilities,
		const DayCounter &	dc = `Actual365Fixed()`,
		InterpolationMethod	interpolationMethod = `BicubicSpline`
	)

fixed reference date, fixed market data

◆ CapFloorTermVolSurfaceExact() [4/4]

CapFloorTermVolSurfaceExact	(	Natural	settlementDays,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const std::vector< Period > &	optionTenors,
		const std::vector< Rate > &	strikes,
		const Matrix &	volatilities,
		const DayCounter &	dc = `Actual365Fixed()`,
		InterpolationMethod	interpolationMethod = `BicubicSpline`
	)

floating reference date, fixed market data

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

override

Definition at line 166 of file capfloortermvolsurface.hpp.

                                                       {
    calculate();
    return optionDateFromTenor(optionTenors_.back());
}

◆ minStrike()

Real minStrike ( ) const

override

Definition at line 171 of file capfloortermvolsurface.hpp.

171{ return strikes_.front(); }

QuantExt::CapFloorTermVolSurface::strikes_

std::vector< QuantLib::Rate > strikes_

Definition: capfloortermvolsurface.hpp:81

◆ maxStrike()

Real maxStrike ( ) const

override

Definition at line 173 of file capfloortermvolsurface.hpp.

173{ return strikes_.back(); }

◆ update()

void update ( )

override

Definition at line 151 of file capfloortermvolsurface.cpp.

                                         {
    // recalculate dates if necessary...
    if (moving_) {
        Date d = Settings::instance().evaluationDate();
        if (evaluationDate_ != d) {
            evaluationDate_ = d;
            initializeOptionDatesAndTimes();
        }
    }
    CapFloorTermVolSurface::update();    
}

◆ performCalculations()

void performCalculations ( ) const

override

Definition at line 170 of file capfloortermvolsurface.cpp.

                                                            {
    // check if date recalculation must be called here
 
    for (Size i = 0; i < nOptionTenors_; ++i)
        for (Size j = 0; j < nStrikes_; ++j)
            vols_[i][j] = volHandles_[i][j]->value();
 
    interpolation_.update();
}

◆ optionDates()

const std::vector< Date > & optionDates ( ) const

Definition at line 180 of file capfloortermvolsurface.hpp.

                                                                             {
    // what if quotes are not available?
    calculate();
    return optionDates_;
}

◆ optionTimes()

const std::vector< Time > & optionTimes ( ) const

Definition at line 186 of file capfloortermvolsurface.hpp.

                                                                             {
    // what if quotes are not available?
    calculate();
    return optionTimes_;
}

◆ interpolationMethod()

CapFloorTermVolSurfaceExact::InterpolationMethod interpolationMethod ( ) const

Definition at line 192 of file capfloortermvolsurface.hpp.

                                                                                                             {
    return interpolationMethod_;
}

◆ volatilityImpl()

Volatility volatilityImpl	(	Time	t,
		Rate	strike
	)		const

overrideprotected

Definition at line 175 of file capfloortermvolsurface.hpp.

                                                                                       {
    calculate();
    return interpolation_(strike, t, true);
}

◆ checkInputs()

void checkInputs ( ) const

private

Definition at line 113 of file capfloortermvolsurface.cpp.

                                                    {
 
    QL_REQUIRE(!optionTenors_.empty(), "empty option tenor vector");
    QL_REQUIRE(nOptionTenors_ == vols_.rows(), "mismatch between number of option tenors ("
                                                   << nOptionTenors_ << ") and number of volatility rows ("
                                                   << vols_.rows() << ")");
    QL_REQUIRE(optionTenors_[0] > 0 * Days, "negative first option tenor: " << optionTenors_[0]);
    for (Size i = 1; i < nOptionTenors_; ++i)
        QL_REQUIRE(optionTenors_[i] > optionTenors_[i - 1],
                   "non increasing option tenor: " << io::ordinal(i) << " is " << optionTenors_[i - 1] << ", "
                                                   << io::ordinal(i + 1) << " is " << optionTenors_[i]);
 
    QL_REQUIRE(nStrikes_ == vols_.columns(),
               "mismatch between strikes(" << strikes_.size() << ") and vol columns (" << vols_.columns() << ")");
    for (Size j = 1; j < nStrikes_; ++j)
        QL_REQUIRE(strikes_[j - 1] < strikes_[j],
                   "non increasing strikes: " << io::ordinal(j) << " is " << io::rate(strikes_[j - 1]) << ", "
                                              << io::ordinal(j + 1) << " is " << io::rate(strikes_[j]));
}

◆ initializeOptionDatesAndTimes()

void initializeOptionDatesAndTimes ( ) const

private

Definition at line 163 of file capfloortermvolsurface.cpp.

                                                                      {
    for (Size i = 0; i < nOptionTenors_; ++i) {
        optionDates_[i] = optionDateFromTenor(optionTenors_[i]);
        optionTimes_[i] = timeFromReference(optionDates_[i]);
    }
}

◆ registerWithMarketData()

void registerWithMarketData ( )

private

Definition at line 133 of file capfloortermvolsurface.cpp.

                                                         {
    for (Size i = 0; i < nOptionTenors_; ++i)
        for (Size j = 0; j < nStrikes_; ++j)
            registerWith(volHandles_[i][j]);
}

◆ interpolate()

void interpolate ( )

private

Definition at line 139 of file capfloortermvolsurface.cpp.

                                              {
    if (interpolationMethod_ == BicubicSpline)
        interpolation_ =
            QuantLib::BicubicSpline(strikes_.begin(), strikes_.end(), optionTimes_.begin(), optionTimes_.end(), vols_);
    else if (interpolationMethod_ == Bilinear)
        interpolation_ =
            BilinearInterpolation(strikes_.begin(), strikes_.end(), optionTimes_.begin(), optionTimes_.end(), vols_);
    else {
        QL_FAIL("Invalid InterpolationMethod");
    }
}

Member Data Documentation

◆ nOptionTenors_

Size nOptionTenors_

private

Definition at line 146 of file capfloortermvolsurface.hpp.

◆ optionDates_

std::vector<Date> optionDates_

mutableprivate

Definition at line 147 of file capfloortermvolsurface.hpp.

◆ optionTimes_

std::vector<Time> optionTimes_

mutableprivate

Definition at line 148 of file capfloortermvolsurface.hpp.

◆ evaluationDate_

Date evaluationDate_

private

Definition at line 149 of file capfloortermvolsurface.hpp.

◆ nStrikes_

Size nStrikes_

private

Definition at line 151 of file capfloortermvolsurface.hpp.

◆ volHandles_

std::vector<std::vector<Handle<Quote> > > volHandles_

private

Definition at line 153 of file capfloortermvolsurface.hpp.

◆ vols_

Matrix vols_

mutableprivate

Definition at line 154 of file capfloortermvolsurface.hpp.

◆ interpolationMethod_

InterpolationMethod interpolationMethod_

private

Definition at line 157 of file capfloortermvolsurface.hpp.

◆ interpolation_

Interpolation2D interpolation_

mutableprivate

Definition at line 158 of file capfloortermvolsurface.hpp.

Public Types

Public Member Functions

some inspectors

Additional Inherited Members

Detailed Description

Member Enumeration Documentation

◆ InterpolationMethod

Constructor & Destructor Documentation

◆ CapFloorTermVolSurfaceExact() [1/4]

◆ CapFloorTermVolSurfaceExact() [2/4]

◆ CapFloorTermVolSurfaceExact() [3/4]

◆ CapFloorTermVolSurfaceExact() [4/4]

Member Function Documentation

◆ maxDate()

◆ minStrike()

◆ maxStrike()

◆ update()

◆ performCalculations()

◆ optionDates()

◆ optionTimes()

◆ interpolationMethod()

◆ volatilityImpl()

◆ checkInputs()

◆ initializeOptionDatesAndTimes()

◆ registerWithMarketData()

◆ interpolate()

Member Data Documentation

◆ nOptionTenors_

◆ optionDates_

◆ optionTimes_

◆ evaluationDate_

◆ nStrikes_

◆ volHandles_

◆ vols_

◆ interpolationMethod_

◆ interpolation_