SpreadedSwaptionVolatility Class Reference

#include <qle/termstructures/spreadedswaptionvolatility.hpp>

Inheritance diagram for SpreadedSwaptionVolatility:

Collaboration diagram for SpreadedSwaptionVolatility:

Public Member Functions
	SpreadedSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &base, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Real > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const QuantLib::ext::shared_ptr< SwapIndex > &baseSwapIndexBase=nullptr, const QuantLib::ext::shared_ptr< SwapIndex > &baseShortSwapIndexBase=nullptr, const QuantLib::ext::shared_ptr< SwapIndex > &simulatedSwapIndexBase=nullptr, const QuantLib::ext::shared_ptr< SwapIndex > &simulatedShortSwapIndexBase=nullptr, const bool stickyAbsMoney=false)
TermStructure interface
DayCounter	dayCounter () const override
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
VolatilityTermStructure interface
Rate	minStrike () const override
Rate	maxStrike () const override
SwaptionVolatilityStructure interface
const Period &	maxSwapTenor () const override
VolatilityType	volatilityType () const override

Observer interface
Handle< SwaptionVolatilityStructure >	base_
std::vector< Real >	strikeSpreads_
std::vector< std::vector< Handle< Quote > > >	volSpreads_
QuantLib::ext::shared_ptr< SwapIndex >	baseSwapIndexBase_
QuantLib::ext::shared_ptr< SwapIndex >	baseShortSwapIndexBase_
QuantLib::ext::shared_ptr< SwapIndex >	simulatedSwapIndexBase_
QuantLib::ext::shared_ptr< SwapIndex >	simulatedShortSwapIndexBase_
bool	stickyAbsMoney_
std::vector< Matrix >	volSpreadValues_
std::vector< Interpolation2D >	volSpreadInterpolation_
void	deepUpdate () override
const Handle< SwaptionVolatilityStructure > &	baseVol ()
QuantLib::ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const override
Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const override
Real	shiftImpl (const Date &optionDate, const Period &swapTenor) const override
Real	shiftImpl (Time optionTime, Time swapLength) const override
void	performCalculations () const override
Real	getAtmLevel (const Real optionTime, const Real swapLength, const QuantLib::ext::shared_ptr< SwapIndex > swapIndexBase, const QuantLib::ext::shared_ptr< SwapIndex > shortSwapIndexBase) const

Detailed Description

Definition at line 37 of file spreadedswaptionvolatility.hpp.

Constructor & Destructor Documentation

SpreadedSwaptionVolatility()

SpreadedSwaptionVolatility	(	const Handle< SwaptionVolatilityStructure > &	base,
		const std::vector< Period > &	optionTenors,
		const std::vector< Period > &	swapTenors,
		const std::vector< Real > &	strikeSpreads,
		const std::vector< std::vector< Handle< Quote > > > &	volSpreads,
		const QuantLib::ext::shared_ptr< SwapIndex > &	baseSwapIndexBase = nullptr,
		const QuantLib::ext::shared_ptr< SwapIndex > &	baseShortSwapIndexBase = nullptr,
		const QuantLib::ext::shared_ptr< SwapIndex > &	simulatedSwapIndexBase = nullptr,
		const QuantLib::ext::shared_ptr< SwapIndex > &	simulatedShortSwapIndexBase = nullptr,
		const bool	stickyAbsMoney = false
	)

Definition at line 30 of file spreadedswaptionvolatility.cpp.

    : SwaptionVolatilityDiscrete(optionTenors, swapTenors, 0, base->calendar(), base->businessDayConvention(),
                                 base->dayCounter()),
      base_(base), strikeSpreads_(strikeSpreads), volSpreads_(volSpreads), baseSwapIndexBase_(baseSwapIndexBase),
      baseShortSwapIndexBase_(baseShortSwapIndexBase), simulatedSwapIndexBase_(simulatedSwapIndexBase),
      simulatedShortSwapIndexBase_(simulatedShortSwapIndexBase), stickyAbsMoney_(stickyAbsMoney) {
    enableExtrapolation(base_->allowsExtrapolation());
    registerWith(base_);
    QL_REQUIRE(
        (baseSwapIndexBase_ == nullptr && baseShortSwapIndexBase_ == nullptr) ||
            (baseSwapIndexBase_ != nullptr && baseShortSwapIndexBase_ != nullptr),
        "SpreadedSwaptionVolatility: baseSwapIndexBase and baseShortSwapIndexBase must be both null or non-null");
    QL_REQUIRE((simulatedSwapIndexBase_ == nullptr && simulatedShortSwapIndexBase_ == nullptr) ||
                   (simulatedSwapIndexBase_ != nullptr && simulatedShortSwapIndexBase_ != nullptr),
               "SpreadedSwaptionVolatility: simulatedSwapIndexBase and simulatedShortSwapIndexBase must be both null "
               "or non-null");
    if (baseSwapIndexBase_)
        registerWith(baseSwapIndexBase_);
    if (baseShortSwapIndexBase_)
        registerWith(baseShortSwapIndexBase_);
    if (simulatedSwapIndexBase_)
        registerWith(simulatedSwapIndexBase_);
    if (simulatedShortSwapIndexBase_)
        registerWith(simulatedShortSwapIndexBase_);
    QL_REQUIRE(!strikeSpreads_.empty(), "SpreadedSwaptionVolatility: empty strike spreads");
    QL_REQUIRE(!optionTenors_.empty(), "SpreadedSwaptionVolatility: empty option tenors");
    QL_REQUIRE(!swapTenors_.empty(), "SpreadedSwaptionVolatility: empty swap tenors");
    QL_REQUIRE(optionTenors.size() * swapTenors.size() == volSpreads.size(),
               "SpreadedSwaptionVolatility: optionTenors (" << optionTenors.size() << ") * swapTenors ("
                                                            << swapTenors.size() << ") inconsistent with vol spreads ("
                                                            << volSpreads.size() << ")");
    for (auto const& s : volSpreads_) {
        QL_REQUIRE(s.size() == strikeSpreads_.size(), "SpreadedSwaptionVolatility: got " << strikeSpreads_.size()
                                                                                         << " strike spreads, but "
                                                                                         << s.size() << " vol spreads");
        for (auto const& q : s)
            registerWith(q);
    }
    volSpreadValues_ = std::vector<Matrix>(strikeSpreads_.size(), Matrix(optionTenors.size(), swapTenors.size(), 0.0));
    volSpreadInterpolation_ = std::vector<Interpolation2D>(strikeSpreads_.size());
}

Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 78 of file spreadedswaptionvolatility.cpp.

{ return base_->dayCounter(); }

maxDate()

Date maxDate ( ) const

override

Definition at line 79 of file spreadedswaptionvolatility.cpp.

{ return base_->maxDate(); }

maxTime()

Time maxTime ( ) const

override

Definition at line 80 of file spreadedswaptionvolatility.cpp.

{ return base_->maxTime(); }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 81 of file spreadedswaptionvolatility.cpp.

{ return base_->referenceDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 82 of file spreadedswaptionvolatility.cpp.

{ return base_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 83 of file spreadedswaptionvolatility.cpp.

{ return base_->settlementDays(); }

minStrike()

Rate minStrike ( ) const

override

Definition at line 84 of file spreadedswaptionvolatility.cpp.

{ return base_->minStrike(); }

maxStrike()

Rate maxStrike ( ) const

override

Definition at line 85 of file spreadedswaptionvolatility.cpp.

{ return base_->maxStrike(); }

maxSwapTenor()

const Period & maxSwapTenor ( ) const

override

Definition at line 86 of file spreadedswaptionvolatility.cpp.

{ return base_->maxSwapTenor(); }

volatilityType()

VolatilityType volatilityType ( ) const

override

Definition at line 87 of file spreadedswaptionvolatility.cpp.

{ return base_->volatilityType(); }

deepUpdate()

void deepUpdate ( )

override

Definition at line 88 of file spreadedswaptionvolatility.cpp.

                                            {
    base_->update();
    update();
}

baseVol()

const Handle< SwaptionVolatilityStructure > & baseVol

(

)

Definition at line 92 of file spreadedswaptionvolatility.cpp.

{ return base_; }

smileSectionImpl()

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

overrideprivate

Definition at line 110 of file spreadedswaptionvolatility.cpp.

                                                                                                                       {
    calculate();
    auto baseSection = base_->smileSection(optionTime, swapLength);
    Real baseAtmLevel = Null<Real>();
    Real simulatedAtmLevel = Null<Real>();
    if ((stickyAbsMoney_ || strikeSpreads_.size() > 1) && baseSection->atmLevel() == Null<Real>()) {
        QL_REQUIRE(baseSwapIndexBase_ != nullptr,
                   "SpreadedSwaptionVolatility::smileSecitonImpl: require baseSwapIndexBase, since stickyAbsMoney is "
                   "true and the base vol smile section does not provide an ATM level.");
        baseAtmLevel = getAtmLevel(optionTime, swapLength, baseSwapIndexBase_, baseShortSwapIndexBase_);
    }
    if (stickyAbsMoney_) {
        QL_REQUIRE(simulatedSwapIndexBase_ != nullptr, "SpreadedSwaptionVolatility::smileSectionImpl: required "
                                                       "simualtedSwapIndexBase, since stickyAbsMoney is true");
        simulatedAtmLevel = getAtmLevel(optionTime, swapLength, simulatedSwapIndexBase_, simulatedShortSwapIndexBase_);
    }
    // interpolate vol spreads
    std::vector<Real> volSpreads(strikeSpreads_.size());
    for (Size k = 0; k < volSpreads.size(); ++k) {
        volSpreads[k] = volSpreadInterpolation_[k](swapLength, optionTime);
    }
    // create smile section
    return QuantLib::ext::make_shared<SpreadedSmileSection2>(base_->smileSection(optionTime, swapLength), volSpreads,
                                                     strikeSpreads_, true, baseAtmLevel, simulatedAtmLevel,
                                                     stickyAbsMoney_);
}

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volatilityImpl()

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

overrideprivate

Definition at line 137 of file spreadedswaptionvolatility.cpp.

                                                                                                         {
    if (strike == Null<Real>()) {
        calculate();
        // support input strike null, interpret this as atm
        std::vector<Real> volSpreads(strikeSpreads_.size());
        for (Size k = 0; k < volSpreads.size(); ++k) {
            volSpreads[k] = volSpreadInterpolation_[k](swapLength, optionTime);
        }
        Real volSpread;
        if (volSpreads.size() > 1) {
            auto spreadInterpolation =
                LinearFlat().interpolate(strikeSpreads_.begin(), strikeSpreads_.end(), volSpreads.begin());
            volSpread = spreadInterpolation(0.0);
        } else {
            volSpread = volSpreads.front();
        }
        return base_->volatility(optionTime, swapLength, strike) + volSpread;
    } else {
        // if input strike != null, use smile section implementation
        return smileSectionImpl(optionTime, swapLength)->volatility(strike);
    }
}

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shiftImpl() [1/2]

Real shiftImpl ( const Date &  optionDate, const Period &  swapTenor  ) const

overrideprivate

Definition at line 160 of file spreadedswaptionvolatility.cpp.

                                                                                                {
    return base_->shift(optionDate, swapTenor);
}

shiftImpl() [2/2]

Real shiftImpl ( Time  optionTime, Time  swapLength  ) const

overrideprivate

Definition at line 164 of file spreadedswaptionvolatility.cpp.

                                                                                 {
    return base_->shift(optionTime, swapLength);
}

performCalculations()

void performCalculations ( ) const

overrideprivate

Definition at line 168 of file spreadedswaptionvolatility.cpp.

                                                           {
    SwaptionVolatilityDiscrete::performCalculations();
    for (Size k = 0; k < strikeSpreads_.size(); ++k) {
        for (Size i = 0; i < optionTenors_.size(); ++i) {
            for (Size j = 0; j < swapTenors_.size(); ++j) {
                Size index = i * swapTenors_.size() + j;
                QL_REQUIRE(!volSpreads_[index][k].empty(), "SpreadedSwaptionVolatility: vol spread quote at index ("
                                                               << i << "," << j << "," << k << ") is empty");
                volSpreadValues_[k](i, j) = volSpreads_[index][k]->value();
            }
        }
        volSpreadInterpolation_[k] = FlatExtrapolator2D(QuantLib::ext::make_shared<BilinearInterpolation>(
            swapLengths_.begin(), swapLengths_.end(), optionTimes_.begin(), optionTimes_.end(), volSpreadValues_[k]));
        volSpreadInterpolation_[k].enableExtrapolation();
    }
}

getAtmLevel()

Real getAtmLevel ( const Real  optionTime, const Real  swapLength, const QuantLib::ext::shared_ptr< SwapIndex >  swapIndexBase, const QuantLib::ext::shared_ptr< SwapIndex >  shortSwapIndexBase  ) const

private

Definition at line 94 of file spreadedswaptionvolatility.cpp.

                                                                                                              {
    Date optionDate = optionDateFromTime(optionTime);
    Rounding rounder(0);
    Period swapTenor(static_cast<Integer>(rounder(swapLength * 12.0)), Months);
    optionDate = swapTenor > shortSwapIndexBase->tenor()
                     ? swapIndexBase->fixingCalendar().adjust(optionDate, Following)
                     : shortSwapIndexBase->fixingCalendar().adjust(optionDate, Following);
    if (swapTenor > shortSwapIndexBase->tenor()) {
        return swapIndexBase->clone(swapTenor)->fixing(optionDate);
    } else {
        return shortSwapIndexBase->clone(swapTenor)->fixing(optionDate);
    }
}

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Member Data Documentation

base_

Handle<SwaptionVolatilityStructure> base_

private

Definition at line 87 of file spreadedswaptionvolatility.hpp.

strikeSpreads_

std::vector<Real> strikeSpreads_

private

Definition at line 88 of file spreadedswaptionvolatility.hpp.

volSpreads_

std::vector<std::vector<Handle<Quote> > > volSpreads_

private

Definition at line 89 of file spreadedswaptionvolatility.hpp.

baseSwapIndexBase_

QuantLib::ext::shared_ptr<SwapIndex> baseSwapIndexBase_

private

Definition at line 90 of file spreadedswaptionvolatility.hpp.

baseShortSwapIndexBase_

QuantLib::ext::shared_ptr<SwapIndex> baseShortSwapIndexBase_

private

Definition at line 90 of file spreadedswaptionvolatility.hpp.

simulatedSwapIndexBase_

QuantLib::ext::shared_ptr<SwapIndex> simulatedSwapIndexBase_

private

Definition at line 91 of file spreadedswaptionvolatility.hpp.

simulatedShortSwapIndexBase_

QuantLib::ext::shared_ptr<SwapIndex> simulatedShortSwapIndexBase_

private

Definition at line 91 of file spreadedswaptionvolatility.hpp.

stickyAbsMoney_

bool stickyAbsMoney_

private

Definition at line 92 of file spreadedswaptionvolatility.hpp.

volSpreadValues_

std::vector<Matrix> volSpreadValues_

mutableprivate

Definition at line 93 of file spreadedswaptionvolatility.hpp.

volSpreadInterpolation_

std::vector<Interpolation2D> volSpreadInterpolation_

mutableprivate

Definition at line 94 of file spreadedswaptionvolatility.hpp.