proxyoptionletvolatility.hpp

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/*
 Copyright (C) 2022 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 qle/termstructures/proxyoptionletvolatility.hpp
    \brief moneyness-adjusted optionlet vol for normal vols
    \ingroup termstructures
*/
 
#pragma once
 
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
 
namespace QuantExt {
 
class ProxyOptionletVolatility : public QuantLib::OptionletVolatilityStructure {
public:
    ProxyOptionletVolatility(const QuantLib::Handle<OptionletVolatilityStructure>& baseVol,
                             const QuantLib::ext::shared_ptr<QuantLib::IborIndex>& baseIndex,
                             const QuantLib::ext::shared_ptr<QuantLib::IborIndex>& targetIndex,
                             const QuantLib::Period& baseRateComputationPeriod = 0 * QuantLib::Days,
                             const QuantLib::Period& targetRateComputationPeriod = 0 * QuantLib::Days);
 
    QuantLib::Rate minStrike() const override { return baseVol_->minStrike(); }
    QuantLib::Rate maxStrike() const override { return baseVol_->maxStrike(); }
    QuantLib::Date maxDate() const override { return baseVol_->maxDate(); }
    const QuantLib::Date& referenceDate() const override { return baseVol_->referenceDate(); }
    VolatilityType volatilityType() const override { return baseVol_->volatilityType(); }
    Real displacement() const override { return baseVol_->displacement(); }
    Calendar calendar() const override { return baseVol_->calendar(); }
 
private:
    QuantLib::ext::shared_ptr<QuantLib::SmileSection> smileSectionImpl(const QuantLib::Date& optionDate) const override;
    QuantLib::ext::shared_ptr<QuantLib::SmileSection> smileSectionImpl(QuantLib::Time optionTime) const override;
    QuantLib::Volatility volatilityImpl(QuantLib::Time optionTime, QuantLib::Rate strike) const override;
 
    QuantLib::Handle<QuantLib::OptionletVolatilityStructure> baseVol_;
    QuantLib::ext::shared_ptr<QuantLib::IborIndex> baseIndex_;
    QuantLib::ext::shared_ptr<QuantLib::IborIndex> targetIndex_;
    QuantLib::Period baseRateComputationPeriod_;
    QuantLib::Period targetRateComputationPeriod_;
};
 
} // namespace QuantExt