interpolatedswaptionvolatilitycube.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Ferdinando Ametrano
 Copyright (C) 2023 Ignacio Anguita
 
 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.
*/
 
#ifndef quantlib_interpolated_swaption_volatility_cube_hpp
#define quantlib_interpolated_swaption_volatility_cube_hpp
 
#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
 
namespace QuantLib {    
 
 
    class InterpolatedSwaptionVolatilityCube : public SwaptionVolatilityCube{
      public:
        InterpolatedSwaptionVolatilityCube(
            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 ext::shared_ptr<SwapIndex>& swapIndexBase,
            const ext::shared_ptr<SwapIndex>& shortSwapIndexBase,
            bool vegaWeightedSmileFit);
 
        void performCalculations() const override;
 
        const Matrix& volSpreads(Size i) const { return volSpreadsMatrix_[i]; }
        ext::shared_ptr<SmileSection> smileSectionImpl(const Date& optionDate,
                                                       const Period& swapTenor) const override;
        ext::shared_ptr<SmileSection> smileSectionImpl(Time optionTime,
                                                       Time swapLength) const override;
      private:
        mutable std::vector<Interpolation2D> volSpreadsInterpolator_;
        mutable std::vector<Matrix> volSpreadsMatrix_;
    };
 
    [[deprecated("renamed to InterpolatedSwaptionVolatilityCube")]]
    typedef InterpolatedSwaptionVolatilityCube SwaptionVolCube2;
 
}
 
#endif