strippedoptionletadapter2.hpp

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/*
 Copyright (C) 2016 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/strippedoptionletadapter2.hpp
    \brief StrippedOptionlet Adapter (with a deeper update method, linear interpolation and optional flat extrapolation)
    \ingroup termstructures
*/
 
#ifndef quantext_stripped_optionlet_adapter2_h
#define quantext_stripped_optionlet_adapter2_h
 
#include <ql/math/interpolation.hpp>
#include <ql/math/interpolations/sabrinterpolation.hpp>
#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp>
 
namespace QuantExt {
 
/*! Adapter class for turning a StrippedOptionletBase object into an
    OptionletVolatilityStructure.
    \ingroup termstructures
*/
class StrippedOptionletAdapter2 : public QuantLib::OptionletVolatilityStructure, public QuantLib::LazyObject {
public:
    StrippedOptionletAdapter2(const QuantLib::ext::shared_ptr<QuantLib::StrippedOptionletBase>&,
                              const bool flatExtrapolation = false);
 
    //! \name TermStructure interface
    //@{
    QuantLib::Date maxDate() const override;
    //@}
    //! \name VolatilityTermStructure interface
    //@{
    QuantLib::Rate minStrike() const override;
    QuantLib::Rate maxStrike() const override;
    //@}
    //! \name LazyObject interface
    //@{
    void update() override;
    void performCalculations() const override;
    QuantLib::ext::shared_ptr<QuantLib::OptionletStripper> optionletStripper() const;
    //@}
    QuantLib::VolatilityType volatilityType() const override;
    QuantLib::Real displacement() const override;
 
protected:
    //! \name OptionletVolatilityStructure interface
    //@{
    QuantLib::ext::shared_ptr<QuantLib::SmileSection> smileSectionImpl(QuantLib::Time optionTime) const override;
 
    QuantLib::Volatility volatilityImpl(QuantLib::Time length, QuantLib::Rate strike) const override;
    //@}
private:
    const QuantLib::ext::shared_ptr<QuantLib::StrippedOptionletBase> optionletStripper_;
    QuantLib::Size nInterpolations_;
    mutable std::vector<QuantLib::ext::shared_ptr<QuantLib::Interpolation> > strikeInterpolations_;
    const bool flatExtrapolation_;
};
 
inline void StrippedOptionletAdapter2::update() {
    optionletStripper_->update(); // just in case
    TermStructure::update();
    LazyObject::update();
}
 
inline QuantLib::ext::shared_ptr<QuantLib::OptionletStripper> StrippedOptionletAdapter2::optionletStripper() const {
    return QuantLib::ext::dynamic_pointer_cast<QuantLib::OptionletStripper>(optionletStripper_);
}
} // namespace QuantExt
 
#endif