swaptionsabrcube.hpp

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/*
 Copyright (C) 2024 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 swaptionsabrcube.hpp
    \brief SABR Swaption volatility cube
    \ingroup termstructures
*/
 
#ifndef quantext_swaption_sabrcube_h
#define quantext_swaption_sabrcube_h
 
#include <qle/termstructures/parametricvolatilitysmilesection.hpp>
#include <qle/termstructures/sabrparametricvolatility.hpp>
 
#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
class SwaptionSabrCube : public SwaptionVolatilityCube {
public:
    SwaptionSabrCube(
        const Handle<SwaptionVolatilityStructure>& atmVolStructure, const std::vector<Period>& optionTenors,
        const std::vector<Period>& swapTenors, const std::vector<Period>& atmOptionTenors,
        const std::vector<Period>& atmSwapLengths, const std::vector<Spread>& strikeSpreads,
        const std::vector<std::vector<Handle<Quote>>>& volSpreads,
        const QuantLib::ext::shared_ptr<SwapIndex>& swapIndexBase,
        const QuantLib::ext::shared_ptr<SwapIndex>& shortSwapIndexBase,
        const QuantExt::SabrParametricVolatility::ModelVariant modelVariant,
        const boost::optional<QuantLib::VolatilityType> outputVolatilityType = boost::none,
        const std::map<std::pair<Period, Period>, std::vector<std::pair<Real, bool>>>& initialModelParameters = {},
        const QuantLib::Size maxCalibrationAttempts = 10, const QuantLib::Real exitEarlyErrorThreshold = 0.005,
        const QuantLib::Real maxAcceptableError = 0.05);
    void performCalculations() const override;
    QuantLib::ext::shared_ptr<SmileSection> smileSectionImpl(Time optionTime, Time swapLength) const override;
 
    QuantLib::ext::shared_ptr<ParametricVolatility> parametricVolatility() const { return parametricVolatility_; }
 
private:
    mutable std::map<std::pair<Real, Real>, QuantLib::ext::shared_ptr<ParametricVolatilitySmileSection>> cache_;
    mutable QuantLib::ext::shared_ptr<ParametricVolatility> parametricVolatility_;
    std::vector<Period> atmOptionTenors_, atmSwapTenors_;
    QuantExt::SabrParametricVolatility::ModelVariant modelVariant_;
    boost::optional<QuantLib::VolatilityType> outputVolatilityType_;
    std::map<std::pair<QuantLib::Period, QuantLib::Period>, std::vector<std::pair<Real, bool>>> initialModelParameters_;
    QuantLib::Size maxCalibrationAttempts_;
    QuantLib::Real exitEarlyErrorThreshold_;
    QuantLib::Real maxAcceptableError_;
};
 
} // namespace QuantExt
 
#endif