DynamicSwaptionVolatilityMatrix Class Reference

Takes a SwaptionVolatilityMatrix with fixed reference date and turns it into a floating reference date term. More...

#include <qle/termstructures/dynamicswaptionvolmatrix.hpp>

Inheritance diagram for DynamicSwaptionVolatilityMatrix:

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Public Member Functions
	DynamicSwaptionVolatilityMatrix (const QuantLib::ext::shared_ptr< SwaptionVolatilityStructure > &source, Natural settlementDays, const Calendar &calendar, ReactionToTimeDecay decayMode=ConstantVariance)

Protected Member Functions
const Period &	maxSwapTenor () const override
QuantLib::ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const override
Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const override
Real	shiftImpl (Time optionTime, Time swapLength) const override
Real	minStrike () const override
Real	maxStrike () const override
Date	maxDate () const override
void	update () override
VolatilityType	volatilityType () const override

Private Attributes
const QuantLib::ext::shared_ptr< SwaptionVolatilityStructure >	source_
ReactionToTimeDecay	decayMode_
const Date	originalReferenceDate_
VolatilityType	volatilityType_

Detailed Description

Takes a SwaptionVolatilityMatrix with fixed reference date and turns it into a floating reference date term.

This class takes a SwaptionVolatilityMatrix with fixed reference date and turns it into a floating reference date term structure. There are different ways of reacting to time decay that can be specified.

Warning:

the vols from the source ts are read using strike null (indicating atm)

Definition at line 45 of file dynamicswaptionvolmatrix.hpp.

Constructor & Destructor Documentation

DynamicSwaptionVolatilityMatrix()

DynamicSwaptionVolatilityMatrix	(	const QuantLib::ext::shared_ptr< SwaptionVolatilityStructure > &	source,
		Natural	settlementDays,
		const Calendar &	calendar,
		ReactionToTimeDecay	decayMode = ConstantVariance
	)

Definition at line 25 of file dynamicswaptionvolmatrix.cpp.

    : SwaptionVolatilityStructure(settlementDays, calendar, source->businessDayConvention(), source->dayCounter()),
      source_(source), decayMode_(decayMode), originalReferenceDate_(source->referenceDate()),
      volatilityType_(source->volatilityType()) {}

Member Function Documentation

maxSwapTenor()

const Period & maxSwapTenor ( ) const

overrideprotected

Definition at line 32 of file dynamicswaptionvolmatrix.cpp.

{ return source_->maxSwapTenor(); }

smileSectionImpl()

QuantLib::ext::shared_ptr< SmileSection > smileSectionImpl ( Time  optionTime, Time  swapLength  ) const

overrideprotected

Definition at line 34 of file dynamicswaptionvolmatrix.cpp.

                                                                                                         {
    // null strike to indicate ATM
    return QuantLib::ext::make_shared<FlatSmileSection>(optionTime, volatilityImpl(optionTime, swapLength, Null<Real>()),
                                                source_->dayCounter(), Null<Real>(), source_->volatilityType(),
                                                shiftImpl(optionTime, swapLength));
}

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volatilityImpl()

Volatility volatilityImpl ( Time  optionTime, Time  swapLength, Rate  strike  ) const

overrideprotected

Definition at line 42 of file dynamicswaptionvolmatrix.cpp.

                                                                                                              {
    if (decayMode_ == ForwardForwardVariance) {
        Real tf = source_->timeFromReference(referenceDate());
        if (source_->volatilityType() == ShiftedLognormal) {
            QL_REQUIRE(close_enough(source_->shift(tf + optionTime, swapLength), source_->shift(tf, swapLength)),
                       "DynamicSwaptionVolatilityMatrix: Shift must be constant in option time direction");
        }
        Real realisedVariance =
            source_->blackVariance(tf + optionTime, swapLength, strike) -
            (tf > 0.0 && !close_enough(tf, 0.0) ? source_->blackVariance(tf, swapLength, strike) : 0.0);
        return std::sqrt(std::max(realisedVariance / optionTime, 1E-6));
    }
    if (decayMode_ == ConstantVariance) {
        return source_->volatility(optionTime, swapLength, strike);
    }
    QL_FAIL("unexpected decay mode (" << decayMode_ << ")");
}

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shiftImpl()

Real shiftImpl ( Time  optionTime, Time  swapLength  ) const

overrideprotected

Definition at line 60 of file dynamicswaptionvolmatrix.cpp.

                                                                                      {
    if (source_->volatilityType() == Normal) {
        return 0.0;
    }
    if (decayMode_ == ForwardForwardVariance) {
        Real tf = source_->timeFromReference(referenceDate());
        return source_->shift(tf + optionTime, swapLength);
    }
    if (decayMode_ == ConstantVariance) {
        return source_->shift(optionTime, swapLength);
    }
    QL_FAIL("unexpected decay mode (" << decayMode_ << ")");
}

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minStrike()

Real minStrike ( ) const

overrideprotected

Definition at line 74 of file dynamicswaptionvolmatrix.cpp.

{ return source_->minStrike(); }

maxStrike()

Real maxStrike ( ) const

overrideprotected

Definition at line 76 of file dynamicswaptionvolmatrix.cpp.

{ return source_->maxStrike(); }

maxDate()

Date maxDate ( ) const

overrideprotected

Definition at line 78 of file dynamicswaptionvolmatrix.cpp.

                                                    {
    if (decayMode_ == ForwardForwardVariance) {
        return source_->maxDate();
    }
    if (decayMode_ == ConstantVariance) {
        return Date(std::min(Date::maxDate().serialNumber(), referenceDate().serialNumber() -
                                                                 originalReferenceDate_.serialNumber() +
                                                                 source_->maxDate().serialNumber()));
    }
    QL_FAIL("unexpected decay mode (" << decayMode_ << ")");
}

update()

void update ( )

overrideprotected

Definition at line 90 of file dynamicswaptionvolmatrix.cpp.

{ SwaptionVolatilityStructure::update(); }

volatilityType()

VolatilityType volatilityType ( ) const

overrideprotected

Definition at line 78 of file dynamicswaptionvolmatrix.hpp.

{ return volatilityType_; }

Member Data Documentation

source_

const QuantLib::ext::shared_ptr<SwaptionVolatilityStructure> source_

private

Definition at line 72 of file dynamicswaptionvolmatrix.hpp.

decayMode_

ReactionToTimeDecay decayMode_

private

Definition at line 73 of file dynamicswaptionvolmatrix.hpp.

originalReferenceDate_

const Date originalReferenceDate_

private

Definition at line 74 of file dynamicswaptionvolmatrix.hpp.

volatilityType_

VolatilityType volatilityType_

private

Definition at line 75 of file dynamicswaptionvolmatrix.hpp.