optionletvolatilitystructure.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
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 Copyright (C) 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
 Copyright (C) 2015 Peter Caspers
 Copyright (C) 2015 Michael von den Driesch
 
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 for financial quantitative analysts and developers - http://quantlib.org/
 
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/*! \file optionletvolatilitystructure.hpp
    \brief optionlet (caplet/floorlet) volatility structure
*/
 
#ifndef quantlib_optionlet_volatility_structure_hpp
#define quantlib_optionlet_volatility_structure_hpp
 
#include <ql/termstructures/voltermstructure.hpp>
#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
#include <ql/termstructures/volatility/volatilitytype.hpp>
 
namespace QuantLib {
 
    class SmileSection;
 
    //! Optionlet (caplet/floorlet) volatility structure
    /*! This class is purely abstract and defines the interface of
        concrete structures which will be derived from this one.
    */
    class OptionletVolatilityStructure : public VolatilityTermStructure {
      public:
        /*! \name Constructors
            See the TermStructure documentation for issues regarding
            constructors.
        */
        //@{
        //! default constructor
        /*! \warning term structures initialized by means of this
                     constructor must manage their own reference date
                     by overriding the referenceDate() method.
        */
        OptionletVolatilityStructure(BusinessDayConvention bdc = Following,
                                     const DayCounter& dc = DayCounter());
        //! initialize with a fixed reference date
        OptionletVolatilityStructure(const Date& referenceDate,
                                     const Calendar& cal,
                                     BusinessDayConvention bdc,
                                     const DayCounter& dc = DayCounter());
        //! calculate the reference date based on the global evaluation date
        OptionletVolatilityStructure(Natural settlementDays,
                                     const Calendar&,
                                     BusinessDayConvention bdc,
                                     const DayCounter& dc = DayCounter());
        //@}
        ~OptionletVolatilityStructure() override = default;
        //! \name Volatility and Variance
        //@{
        //! returns the volatility for a given option tenor and strike rate
        Volatility volatility(const Period& optionTenor,
                              Rate strike,
                              bool extrapolate = false) const;
        //! returns the volatility for a given option date and strike rate
        Volatility volatility(const Date& optionDate,
                              Rate strike,
                              bool extrapolate = false) const;
        //! returns the volatility for a given option time and strike rate
        Volatility volatility(Time optionTime,
                              Rate strike,
                              bool extrapolate = false) const;
 
        //! returns the Black variance for a given option tenor and strike rate
        Real blackVariance(const Period& optionTenor,
                           Rate strike,
                           bool extrapolate = false) const;
        //! returns the Black variance for a given option date and strike rate
        Real blackVariance(const Date& optionDate,
                           Rate strike,
                           bool extrapolate = false) const;
        //! returns the Black variance for a given option time and strike rate
        Real blackVariance(Time optionTime,
                           Rate strike,
                           bool extrapolate = false) const;
 
        //! returns the smile for a given option tenor
        ext::shared_ptr<SmileSection> smileSection(const Period& optionTenor,
                                                     bool extr = false) const;
        //! returns the smile for a given option date
        ext::shared_ptr<SmileSection> smileSection(const Date& optionDate,
                                                     bool extr = false) const;
        //! returns the smile for a given option time
        ext::shared_ptr<SmileSection> smileSection(Time optionTime,
                                                     bool extr = false) const;
        //@}
        virtual VolatilityType volatilityType() const;
        virtual Real displacement() const;
 
      protected:
        virtual ext::shared_ptr<SmileSection> smileSectionImpl(
                                                const Date& optionDate) const;
        //! implements the actual smile calculation in derived classes
        virtual ext::shared_ptr<SmileSection> smileSectionImpl(
                                                    Time optionTime) const = 0;
        virtual Volatility volatilityImpl(const Date& optionDate,
                                          Rate strike) const;
        //! implements the actual volatility calculation in derived classes
        virtual Volatility volatilityImpl(Time optionTime,
                                          Rate strike) const = 0;
    };
 
    // inline definitions
 
    // 1. Period-based methods convert Period to Date and then
    //    use the equivalent Date-based methods
    inline Volatility
    OptionletVolatilityStructure::volatility(const Period& optionTenor,
                                             Rate strike,
                                             bool extrapolate) const {
        Date optionDate = optionDateFromTenor(optionTenor);
        return volatility(optionDate, strike, extrapolate);
    }
 
    inline
    Real OptionletVolatilityStructure::blackVariance(const Period& optionTenor,
                                                     Rate strike,
                                                     bool extrapolate) const {
        Date optionDate = optionDateFromTenor(optionTenor);
        return blackVariance(optionDate, strike, extrapolate);
    }
 
    inline ext::shared_ptr<SmileSection>
    OptionletVolatilityStructure::smileSection(const Period& optionTenor,
                                               bool extrapolate) const {
        Date optionDate = optionDateFromTenor(optionTenor);
        return smileSection(optionDate, extrapolate);
    }
 
    // 2. blackVariance methods rely on volatility methods
    inline
    Real OptionletVolatilityStructure::blackVariance(const Date& optionDate,
                                                     Rate strike,
                                                     bool extrapolate) const {
        Volatility v = volatility(optionDate, strike, extrapolate);
        Time t = timeFromReference(optionDate);
        return v*v*t;
    }
 
    inline
    Real OptionletVolatilityStructure::blackVariance(Time optionTime,
                                                     Rate strike,
                                                     bool extrapolate) const {
        Volatility v = volatility(optionTime, strike, extrapolate);
        return v*v*optionTime;
    }
 
    // 3. relying on xxxImpl methods
    inline Volatility
    OptionletVolatilityStructure::volatility(const Date& optionDate,
                                             Rate strike,
                                             bool extrapolate) const {
        checkRange(optionDate, extrapolate);
        checkStrike(strike, extrapolate);
        return volatilityImpl(optionDate, strike);
    }
 
    inline Volatility
    OptionletVolatilityStructure::volatility(Time optionTime,
                                             Rate strike,
                                             bool extrapolate) const {
        checkRange(optionTime, extrapolate);
        checkStrike(strike, extrapolate);
        return volatilityImpl(optionTime, strike);
    }
 
    inline ext::shared_ptr<SmileSection>
    OptionletVolatilityStructure::smileSection(const Date& optionDate,
                                               bool extrapolate) const {
        checkRange(optionDate, extrapolate);
        return smileSectionImpl(optionDate);
    }
 
    inline ext::shared_ptr<SmileSection>
    OptionletVolatilityStructure::smileSection(Time optionTime,
                                               bool extrapolate) const {
        checkRange(optionTime, extrapolate);
        return smileSectionImpl(optionTime);
    }
 
    // 4. default implementation of Date-based xxxImpl methods
    //    relying on the equivalent Time-based methods
    inline ext::shared_ptr<SmileSection>
    OptionletVolatilityStructure::smileSectionImpl(const Date& optionDate) const {
        return smileSectionImpl(timeFromReference(optionDate));
    }
 
    inline Volatility
    OptionletVolatilityStructure::volatilityImpl(const Date& optionDate,
                                                 Rate strike) const {
        return volatilityImpl(timeFromReference(optionDate), strike);
    }
 
    inline VolatilityType
    OptionletVolatilityStructure::volatilityType() const {
        return ShiftedLognormal;
    }
 
    inline Real OptionletVolatilityStructure::displacement() const {
        return 0.0;
    }
}
 
#endif