optionletvolatilitystructure.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 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
 
 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_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;
 
 
    class OptionletVolatilityStructure : public VolatilityTermStructure {
      public:
 
        OptionletVolatilityStructure(BusinessDayConvention bdc = Following,
                                     const DayCounter& dc = DayCounter());
        OptionletVolatilityStructure(const Date& referenceDate,
                                     const Calendar& cal,
                                     BusinessDayConvention bdc,
                                     const DayCounter& dc = DayCounter());
        OptionletVolatilityStructure(Natural settlementDays,
                                     const Calendar&,
                                     BusinessDayConvention bdc,
                                     const DayCounter& dc = DayCounter());
        ~OptionletVolatilityStructure() override = default;
 
 
        Volatility volatility(const Period& optionTenor,
                              Rate strike,
                              bool extrapolate = false) const;
        Volatility volatility(const Date& optionDate,
                              Rate strike,
                              bool extrapolate = false) const;
        Volatility volatility(Time optionTime,
                              Rate strike,
                              bool extrapolate = false) const;
 
        Real blackVariance(const Period& optionTenor,
                           Rate strike,
                           bool extrapolate = false) const;
        Real blackVariance(const Date& optionDate,
                           Rate strike,
                           bool extrapolate = false) const;
        Real blackVariance(Time optionTime,
                           Rate strike,
                           bool extrapolate = false) const;
 
        ext::shared_ptr<SmileSection> smileSection(const Period& optionTenor,
                                                     bool extr = false) const;
        ext::shared_ptr<SmileSection> smileSection(const Date& optionDate,
                                                     bool extr = false) const;
        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;
        virtual ext::shared_ptr<SmileSection> smileSectionImpl(
                                                    Time optionTime) const = 0;
        virtual Volatility volatilityImpl(const Date& optionDate,
                                          Rate strike) const;
        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