swaptionvolcube2.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.
*/
 
/*
 Copyright (C) 2006 Ferdinando Ametrano
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file swaptionvolcube2.hpp, with flat extrapolation in strike direction
    \brief Swaption volatility cube, fit-later-interpolate-early approach
    \ingroup termstructures
*/
 
#ifndef quantext_swaption_volcube_fit_later_interpolate_early_h
#define quantext_swaption_volcube_fit_later_interpolate_early_h
 
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
class SwaptionVolCube2 : public SwaptionVolatilityCube {
public:
    /*! The swaption vol cube is made up of ordered swaption vol surface
        layers, each layer referring to a swap index of a given length
        (in years), all indexes belonging to the same family. In order
        to identify the family (and its market conventions) an index of
        whatever length from that family must be passed in as
        swapIndexBase.
 
        Often for short swap length the swap index family is different,
        e.g. the EUR case: swap vs 6M Euribor is used for length>1Y,
        while swap vs 3M Euribor is used for the 1Y length. The
        shortSwapIndexBase is used to identify this second family.
 
        If flatExtrapolation is true the implied volatility is
        extrapolated flat in strike direction.
  */
    /*! in case volsAreSpreads is false the given volSpreads are interpreted as absolute vols,
      in this case the volSpreads inspectors also return absolute vols */
    SwaptionVolCube2(const Handle<SwaptionVolatilityStructure>& atmVolStructure,
                     const std::vector<Period>& optionTenors, const std::vector<Period>& swapTenors,
                     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, bool vegaWeightedSmileFit,
                     bool flatExtrapolation, bool volsAreSpreads = true);
    //! \name LazyObject interface
    //@{
    void performCalculations() const override;
    //@}
    //! \name SwaptionVolatilityCube inspectors
    //@{
    const Matrix& volSpreads(Size i) const { return volSpreadsMatrix_[i]; }
    QuantLib::ext::shared_ptr<SmileSection> smileSectionImpl(const Date& optionDate, const Period& swapTenor) const override;
    QuantLib::ext::shared_ptr<SmileSection> smileSectionImpl(Time optionTime, Time swapLength) const override;
    //@}
private:
    const bool flatExtrapolation_, volsAreSpreads_;
    mutable std::vector<Interpolation2D> volSpreadsInterpolator_;
    mutable std::vector<Matrix> volSpreadsMatrix_;
};
 
} // namespace QuantExt
 
#endif