#include <qle/interpolators/optioninterpolator2d.hpp>

Inheritance diagram for OptionInterpolator2d< InterpolatorStrike, InterpolatorExpiry >:

Collaboration diagram for OptionInterpolator2d< InterpolatorStrike, InterpolatorExpiry >:

Public Member Functions
	OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dayCounter, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const InterpolatorStrike &interpolatorStrike=InterpolatorStrike(), const InterpolatorExpiry &interpolatorExpiry=InterpolatorExpiry(), const QuantLib::Date &baseDate=QuantLib::Date())
	OptionInterpolator2d default Constructor. More...

	OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dayCounter, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const InterpolatorStrike &interpolatorStrike=InterpolatorStrike(), const InterpolatorExpiry &interpolatorExpiry=InterpolatorExpiry(), const QuantLib::Date &baseDate=QuantLib::Date())
	OptionInterpolator2d Constructor with dates. More...

	OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc, const QuantLib::DayCounter &dayCounter, const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const InterpolatorStrike &interpolatorStrike=InterpolatorStrike(), const InterpolatorExpiry &interpolatorExpiry=InterpolatorExpiry(), const QuantLib::Date &baseDate=QuantLib::Date())
	OptionInterpolator2d Constructor with Tenors. More...

	OptionInterpolator2d (const OptionInterpolator2d &)=delete

OptionInterpolator2d &	operator= (const OptionInterpolator2d &)=delete

void	initialise (const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values)
	Initialise. More...

void	initialise (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc)

Public Member Functions inherited from OptionInterpolatorBase
virtual	~OptionInterpolatorBase ()

	OptionInterpolatorBase (const QuantLib::Date &referenceDate)

virtual QuantLib::Real	getValue (QuantLib::Time t, QuantLib::Real strike) const =0
	virtual access methods More...

virtual QuantLib::Real	getValue (QuantLib::Date d, QuantLib::Real strike) const =0

const QuantLib::Date &	referenceDate () const

std::vector< QuantLib::Time >	times () const

std::vector< QuantLib::Date >	expiries () const

std::vector< std::vector< QuantLib::Real > >	strikes () const

std::vector< std::vector< QuantLib::Real > >	values () const

Getters
std::vector< QuantLib::Interpolation >	interpolations_

QuantLib::DayCounter	dayCounter_

bool	lowerStrikeConstExtrap_

bool	upperStrikeConstExtrap_

InterpolatorStrike	interpolatorStrike_

InterpolatorExpiry	interpolatorExpiry_

bool	initialised_

QuantLib::Date	baseDate_

std::vector< QuantLib::Time >	times () const

std::vector< QuantLib::Date >	expiries () const

std::vector< std::vector< QuantLib::Real > >	strikes () const

std::vector< std::vector< QuantLib::Real > >	values () const

QuantLib::DayCounter	dayCounter () const

QuantLib::Real	getValue (QuantLib::Time t, QuantLib::Real strike) const override
	virtual access methods More...

QuantLib::Real	getValue (QuantLib::Date d, QuantLib::Real strike) const override

QuantLib::Real	getValueForStrike (QuantLib::Real strike, const std::vector< QuantLib::Real > &strks, const std::vector< QuantLib::Real > &vars, const QuantLib::Interpolation &intrp) const

Additional Inherited Members
Protected Attributes inherited from OptionInterpolatorBase
std::vector< QuantLib::Date >	expiries_

std::vector< QuantLib::Time >	times_

std::vector< std::vector< QuantLib::Real > >	strikes_

std::vector< std::vector< QuantLib::Real > >	values_

QuantLib::Date	referenceDate_

Detailed Description

template<class InterpolatorStrike, class InterpolatorExpiry>
class QuantExt::OptionInterpolator2d< InterpolatorStrike, InterpolatorExpiry >

Option surface interpolator

Definition at line 71 of file optioninterpolator2d.hpp.

Constructor & Destructor Documentation

◆ OptionInterpolator2d() [1/4]

OptionInterpolator2d	(	const QuantLib::Date &	referenceDate,
		const QuantLib::DayCounter &	dayCounter,
		bool	lowerStrikeConstExtrap = `true`,
		bool	upperStrikeConstExtrap = `true`,
		const InterpolatorStrike &	interpolatorStrike = `InterpolatorStrike()`,
		const InterpolatorExpiry &	interpolatorExpiry = `InterpolatorExpiry()`,
		const QuantLib::Date &	baseDate = `QuantLib::Date()`
	)

OptionInterpolator2d default Constructor.

Definition at line 75 of file optioninterpolator2d.hpp.

        : OptionInterpolatorBase(referenceDate), dayCounter_(dayCounter),
          lowerStrikeConstExtrap_(lowerStrikeConstExtrap), upperStrikeConstExtrap_(upperStrikeConstExtrap),
          interpolatorStrike_(interpolatorStrike), interpolatorExpiry_(interpolatorExpiry), initialised_(false),
          baseDate_(baseDate == QuantLib::Date() ? referenceDate : baseDate){};

◆ OptionInterpolator2d() [2/4]

OptionInterpolator2d	(	const QuantLib::Date &	referenceDate,
		const QuantLib::DayCounter &	dayCounter,
		const std::vector< QuantLib::Date > &	dates,
		const std::vector< QuantLib::Real > &	strikes,
		const std::vector< QuantLib::Real > &	values,
		bool	lowerStrikeConstExtrap = `true`,
		bool	upperStrikeConstExtrap = `true`,
		const InterpolatorStrike &	interpolatorStrike = `InterpolatorStrike()`,
		const InterpolatorExpiry &	interpolatorExpiry = `InterpolatorExpiry()`,
		const QuantLib::Date &	baseDate = `QuantLib::Date()`
	)

OptionInterpolator2d Constructor with dates.

Definition at line 146 of file optioninterpolator2d.hpp.

    : OptionInterpolatorBase(referenceDate), dayCounter_(dayCounter), lowerStrikeConstExtrap_(lowerStrikeConstExtrap),
      upperStrikeConstExtrap_(upperStrikeConstExtrap), interpolatorStrike_(interpolatorStrike),
      interpolatorExpiry_(interpolatorExpiry), initialised_(false),
      baseDate_(baseDate == QuantLib::Date() ? referenceDate : baseDate) {
 
    initialise(dates, strikes, values);
};

Here is the call graph for this function:

◆ OptionInterpolator2d() [3/4]

OptionInterpolator2d	(	const QuantLib::Date &	referenceDate,
		const QuantLib::Calendar &	calendar,
		const QuantLib::BusinessDayConvention &	bdc,
		const QuantLib::DayCounter &	dayCounter,
		const std::vector< QuantLib::Period > &	tenors,
		const std::vector< QuantLib::Real > &	strikes,
		const std::vector< QuantLib::Real > &	values,
		bool	lowerStrikeConstExtrap = `true`,
		bool	upperStrikeConstExtrap = `true`,
		const InterpolatorStrike &	interpolatorStrike = `InterpolatorStrike()`,
		const InterpolatorExpiry &	interpolatorExpiry = `InterpolatorExpiry()`,
		const QuantLib::Date &	baseDate = `QuantLib::Date()`
	)

OptionInterpolator2d Constructor with Tenors.

Definition at line 162 of file optioninterpolator2d.hpp.

    : OptionInterpolatorBase(referenceDate), dayCounter_(dayCounter), lowerStrikeConstExtrap_(lowerStrikeConstExtrap),
    upperStrikeConstExtrap_(upperStrikeConstExtrap), interpolatorStrike_(interpolatorStrike),
      interpolatorExpiry_(interpolatorExpiry), initialised_(false),
      baseDate_(baseDate == QuantLib::Date() ? referenceDate : baseDate) {
 
    initialise(tenors, strikes, values, calendar, bdc);
}

Here is the call graph for this function:

◆ OptionInterpolator2d() [4/4]

OptionInterpolator2d ( const OptionInterpolator2d< InterpolatorStrike, InterpolatorExpiry > & )

delete

Member Function Documentation

◆ operator=()

OptionInterpolator2d & operator= ( const OptionInterpolator2d< InterpolatorStrike, InterpolatorExpiry > & )

delete

◆ initialise() [1/2]

void initialise	(	const std::vector< QuantLib::Date > &	dates,
		const std::vector< QuantLib::Real > &	strikes,
		const std::vector< QuantLib::Real > &	values
	)

Initialise.

Definition at line 177 of file optioninterpolator2d.hpp.

                                                                                     {
    using QuantLib::Date;
    using QuantLib::Interpolation;
    using QuantLib::Real;
    using QuantLib::Size;
    using QuantLib::Time;
    using std::pair;
    using std::set;
    using std::vector;
    QL_REQUIRE((strikes.size() == dates.size()) && (dates.size() == values.size()),
               "dates, strikes and values vectors not of equal size.");
 
    // first get uniques dates and sort
    set<Date> datesSet(dates.begin(), dates.end());
    expiries_ = vector<Date>(datesSet.begin(), datesSet.end());
    vector<bool> dateDone(expiries_.size(), false);
    times_ = vector<Time>(expiries_.size());
    interpolations_ = vector<Interpolation>(expiries_.size());
    values_ = vector<vector<Real> >(expiries_.size());
    strikes_ = vector<vector<Real> >(expiries_.size());
 
    // Populate expiry info. (Except interpolation obj members)
    for (Size i = 0; i < dates.size(); i++) {
        vector<Date>::iterator found = find(expiries_.begin(), expiries_.end(), dates[i]);
        QL_REQUIRE(found != expiries_.end(), "Date should already be loaded" << dates[i]);
        Size ii;
        ii = distance(expiries_.begin(), found); // index of expiry
 
        if (!dateDone[ii]) {
            // add expiry data if not found
            QL_REQUIRE(dates[i] >= referenceDate_,
                       "Expiry date:" << dates[i] << " before asof date: " << referenceDate_);
            times_[ii] = dayCounter_.yearFraction(referenceDate_, dates[i]);
            strikes_[ii].push_back(strikes[i]);
            values_[ii].push_back(values[i]);
            dateDone[ii] = true;
        } else {
            // expiry found => add if strike not found
            Real tmpStrike = strikes[i];
            vector<Real>::iterator fnd =
                find_if(strikes_[ii].begin(), strikes_[ii].end(), CloseEnoughComparator(tmpStrike));
            if (fnd == strikes_[ii].end()) {
                // add strike/var pairs if strike not found for this expiry
                strikes_[ii].push_back(strikes[i]);
                values_[ii].push_back(values[i]);
            }
        }
    }
 
    // check on strikes and values size
    for (Size i = 0; i < expiries_.size(); i++)
        QL_REQUIRE(strikes_[i].size() == values_[i].size(),
            "different number of variances and strikes for date: " << expiries_[i]);
 
    // set expiries' interpolations.
    for (Size i = 0; i < expiries_.size(); i++) {
        // sort strikes within this expiry
        vector<pair<Real, Real> > tmpPairs(strikes_[i].size());
        vector<Real> sortedStrikes;
        vector<Real> sortedVals;
        for (Size j = 0; j < strikes_[i].size(); j++) {
            tmpPairs[j] = pair<Real, Real>(strikes_[i][j], values_[i][j]);
        }
        sort(tmpPairs.begin(), tmpPairs.end()); // sorts according to first. (strikes)
        for (vector<pair<Real, Real> >::iterator it = tmpPairs.begin(); it != tmpPairs.end(); it++) {
            sortedStrikes.push_back(it->first);
            sortedVals.push_back(it->second);
        }
        strikes_[i] = sortedStrikes;
        values_[i] = sortedVals;
 
        // set interpolation
        if (strikes_[i].size() == 1) {
            interpolations_[i] = Constant().interpolate(values_[i].front());
        } else {
            interpolations_[i] =
                interpolatorStrike_.interpolate(strikes_[i].begin(), strikes_[i].end(), values_[i].begin());
        }
        interpolations_[i].enableExtrapolation();
    }
    initialised_ = true;
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ initialise() [2/2]

void initialise	(	const std::vector< QuantLib::Period > &	tenors,
		const std::vector< QuantLib::Real > &	strikes,
		const std::vector< QuantLib::Real > &	values,
		const QuantLib::Calendar &	calendar,
		const QuantLib::BusinessDayConvention &	bdc
	)

Definition at line 263 of file optioninterpolator2d.hpp.

                                                                                        {
 
    std::vector<QuantLib::Date> dates;
    for (auto t : tenors)
        dates.push_back(calendar.advance(referenceDate(), t, bdc));
 
    initialise(dates, strikes, values);
}

◆ times()

std::vector< QuantLib::Time > times

Definition at line 364 of file optioninterpolator2d.hpp.

                                                                                                {
    QL_REQUIRE(initialised_, "No data provided to OptionInterpolator2d");
    return OptionInterpolatorBase::times();
}

Here is the call graph for this function:

◆ expiries()

std::vector< QuantLib::Date > expiries

Definition at line 369 of file optioninterpolator2d.hpp.

                                                                                                   {
    QL_REQUIRE(initialised_, "No data provided to OptionInterpolator2d");
    return OptionInterpolatorBase::expiries();
}

Here is the call graph for this function:

◆ strikes()

std::vector< std::vector< QuantLib::Real > > strikes

Definition at line 374 of file optioninterpolator2d.hpp.

                                                                                                              {
    QL_REQUIRE(initialised_, "No data provided to OptionInterpolator2d");
    return OptionInterpolatorBase::strikes();
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ values()

std::vector< std::vector< QuantLib::Real > > values

Definition at line 379 of file optioninterpolator2d.hpp.

                                                                                                             {
    QL_REQUIRE(initialised_, "No data provided to OptionInterpolator2d");
    return OptionInterpolatorBase::values();
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ dayCounter()

QuantLib::DayCounter dayCounter ( ) const

Definition at line 122 of file optioninterpolator2d.hpp.

122{ return dayCounter_; }

Here is the caller graph for this function:

◆ getValue() [1/2]

QuantLib::Real getValue	(	QuantLib::Time	t,
		QuantLib::Real	strike
	)		const

overridevirtual

virtual access methods

Implements OptionInterpolatorBase.

Definition at line 297 of file optioninterpolator2d.hpp.

                                                                                             {
    using QuantLib::Interpolation;
    using QuantLib::Real;
    using QuantLib::Size;
    using QuantLib::Time;
    using std::vector;
    Time baseTime = dayCounter_.yearFraction(referenceDate_, baseDate_);
    QL_REQUIRE(initialised_, "No data provided to OptionInterpolator2d");
    QL_REQUIRE(t >= baseTime, "Variance requested for date before base date: " << baseDate_);
    if (QuantLib::close_enough(t,baseTime)) {
        // requested at reference date
        QL_REQUIRE(!values_.empty(), "OptionInterpolator2d: no expiries given");
        QL_REQUIRE(!values_.front().empty(), "OptionInterpolator2d: no value for first expiry given");
        return values_[0][0];
    } else {
        QL_REQUIRE(!expiries_.empty(), "OptionInterpolator2d: no expiry given");
        if (expiries_.size() == 1) {
            return getValueForStrike(strike, strikes_[0], values_[0], interpolations_[0]);
        }
        // ind1 and ind2 two expiries on either side of requested time.
        Size ind1, ind2;
        if (t <= times_.front()) {
            // near end of expiries, use first 2 strikes
            ind1 = 0;
            ind2 = 1;
        } else if (t > times_.back()) {
            // far end of expiries, use last 2
            ind1 = times_.size() - 2;
            ind2 = times_.size() - 1;
        } else {
            // requested between existing expiries (interpolate between expiries)
            ind2 = distance(times_.begin(), lower_bound(times_.begin(), times_.end(), t));
            ind1 = (ind2 != 0) ? ind2 - 1 : 0;
        }
        // interpolate between expiries
        vector<Real> tmpVars(2);
        vector<Time> xAxis;
        xAxis.push_back(times_[ind1]);
        xAxis.push_back(times_[ind2]);
 
        tmpVars[0] = getValueForStrike(strike, strikes_[ind1], values_[ind1], interpolations_[ind1]);
        tmpVars[1] = getValueForStrike(strike, strikes_[ind2], values_[ind2], interpolations_[ind2]);
        Interpolation interp = interpolatorExpiry_.interpolate(xAxis.begin(), xAxis.end(), tmpVars.begin());
        // linear extrapolation of expiries in case t > time_.back() above.
        interp.enableExtrapolation(true);
        return interp(t);
    }
}

◆ getValue() [2/2]

QuantLib::Real getValue	(	QuantLib::Date	d,
		QuantLib::Real	strike
	)		const

overridevirtual

Implements OptionInterpolatorBase.

Definition at line 347 of file optioninterpolator2d.hpp.

                                                                                             {
    QL_REQUIRE(initialised_, "No data provided to OptionInterpolator2d");
    QL_REQUIRE(d >= baseDate_, "Variance requested for date before reference date: " << baseDate_);
    QuantLib::Real valueReturn;
 
    std::vector<QuantLib::Date>::const_iterator it = find(expiries_.begin(), expiries_.end(), d);
    // if the date matches one of the expiries get the value on that day, otherwise use time interpolation
    if (it != expiries_.end()) {
        QuantLib::Size dis = distance(expiries_.begin(), it);
        valueReturn = getValueForStrike(strike, strikes_[dis], values_[dis], interpolations_[dis]);
    } else {
        QuantLib::Time t = dayCounter_.yearFraction(referenceDate_, d);
        valueReturn = getValue(t, strike);
    }
    return valueReturn;
}

◆ getValueForStrike()

QuantLib::Real getValueForStrike	(	QuantLib::Real	strike,
		const std::vector< QuantLib::Real > &	strks,
		const std::vector< QuantLib::Real > &	vars,
		const QuantLib::Interpolation &	intrp
	)		const

private

Definition at line 277 of file optioninterpolator2d.hpp.

                                                                                                         {
    QL_REQUIRE(!strks.empty(), "OptionInterpolator2d: no strikes given");
    QL_REQUIRE(strks.size() == vars.size(), "OptionInterpolator2d: strikes size ("
                                                << strks.size() << ") does not match vars size (" << vars.size()
                                                << ")");
    QuantLib::Real retVar;
    if (strike > strks.back() && upperStrikeConstExtrap_) {
        retVar = vars.back(); // force flat extrapolate far strike if requested
    } else if (strike < strks.front() && lowerStrikeConstExtrap_) {
        retVar = vars.front(); // force flat extrapolate near strike if requested
    } else {
        retVar = intrp(strike); // interpolate between strikes or extrap with interpolator default
    }
    return retVar;
}

Member Data Documentation

◆ interpolations_

std::vector<QuantLib::Interpolation> interpolations_

protected

Definition at line 128 of file optioninterpolator2d.hpp.

◆ dayCounter_

QuantLib::DayCounter dayCounter_

private

Definition at line 131 of file optioninterpolator2d.hpp.

◆ lowerStrikeConstExtrap_

bool lowerStrikeConstExtrap_

private

Definition at line 135 of file optioninterpolator2d.hpp.

◆ upperStrikeConstExtrap_

bool upperStrikeConstExtrap_

private

Definition at line 136 of file optioninterpolator2d.hpp.

◆ interpolatorStrike_

InterpolatorStrike interpolatorStrike_

private

Definition at line 137 of file optioninterpolator2d.hpp.

◆ interpolatorExpiry_

InterpolatorExpiry interpolatorExpiry_

private

Definition at line 138 of file optioninterpolator2d.hpp.

◆ initialised_

bool initialised_

private

Definition at line 139 of file optioninterpolator2d.hpp.

◆ baseDate_

QuantLib::Date baseDate_

private

Definition at line 140 of file optioninterpolator2d.hpp.

Public Member Functions

Getters

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ OptionInterpolator2d() [1/4]

◆ OptionInterpolator2d() [2/4]

◆ OptionInterpolator2d() [3/4]

◆ OptionInterpolator2d() [4/4]

Member Function Documentation

◆ operator=()

◆ initialise() [1/2]

◆ initialise() [2/2]

◆ times()

◆ expiries()

◆ strikes()

◆ values()

◆ dayCounter()

◆ getValue() [1/2]

◆ getValue() [2/2]

◆ getValueForStrike()

Member Data Documentation

◆ interpolations_

◆ dayCounter_

◆ lowerStrikeConstExtrap_

◆ upperStrikeConstExtrap_

◆ interpolatorStrike_

◆ interpolatorExpiry_

◆ initialised_

◆ baseDate_