spreadedyoyvolsurface.hpp

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/*
 Copyright (C) 2020 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 spreadedoptionletvolatility2.hpp
    \brief Optionlet volatility with overlayed bilinearly interpolated spread surface
    \ingroup termstructures
*/
 
#pragma once
 
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/quote.hpp>
#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>
 
#include <boost/smart_ptr/shared_ptr.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
class SpreadedYoYVolatilitySurface : public QuantExt::YoYOptionletVolatilitySurface, public LazyObject {
public:
    // warning we assume that volatilities are retrieved with obLag = -1D, i.e. using the standard lag from the ts
    SpreadedYoYVolatilitySurface(const Handle<YoYOptionletVolatilitySurface>& baseVol,
                                 const std::vector<Date>& optionDates, const std::vector<Real>& strikes,
                                 const std::vector<std::vector<Handle<Quote>>>& volSpreads);
    Rate minStrike() const override;
    Rate maxStrike() const override;
    Date maxDate() const override;
    Time maxTime() const override;
    const Date& referenceDate() const override;
    void update() override;
    void deepUpdate() override;
 
protected:
    Volatility volatilityImpl(Time length, Rate strike) const override;
    void performCalculations() const override;
 
private:
    Handle<YoYOptionletVolatilitySurface> baseVol_;
    std::vector<Date> optionDates_;
    std::vector<Real> strikes_;
    std::vector<std::vector<Handle<Quote>>> volSpreads_;
    //
    mutable std::vector<Real> optionTimes_;
    mutable Matrix volSpreadValues_;
    mutable Interpolation2D volSpreadInterpolation_;
};
 
} // namespace QuantExt