swaptionpseudojacobian.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 
 Copyright (C) 2008 Mark Joshi
 
 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_swaption_pseudo_jacobian_hpp
#define quantlib_swaption_pseudo_jacobian_hpp
 
 
#include <ql/models/marketmodels/marketmodel.hpp>
 
/*! In order to compute market vegas, we need a class that gives the
derivative of a swaption implied vol against changes in pseudo-root elements.
This is that class.
 
This is tested in the pathwise vegas routine in MarketModels.cpp
 
*/
 
namespace QuantLib
{
    class SwaptionPseudoDerivative
    {
 
        public:
          SwaptionPseudoDerivative(const ext::shared_ptr<MarketModel>& inputModel,
                                   Size startIndex,
                                   Size endIndex);
 
          const Matrix& varianceDerivative(Size i) const;
          const Matrix& volatilityDerivative(Size i) const;
 
          Real impliedVolatility() const;
          Real variance() const;
          Real expiry() const;
 
 
 
        private:
            ext::shared_ptr<MarketModel> inputModel_;
            std::vector<Matrix> varianceDerivatives_;
            std::vector<Matrix> volatilityDerivatives_;
 
            Real impliedVolatility_;
            Real expiry_;
            Real variance_;
 
 
    };
 
/*! In order to compute market vegas, we need a class that gives the
derivative of a cap implied vol against changes in pseudo-root elements.
This is that class.
 
The operation is non-trivial because the cap implied vol has a complicated
relationship with the caplet implied vols. 
 
This is  tested in the pathwise vegas routine in MarketModels.cpp
 
*/
 
   class CapPseudoDerivative
    {
 
        public:
          CapPseudoDerivative(const ext::shared_ptr<MarketModel>& inputModel,
                              Real strike,
                              Size startIndex,
                              Size endIndex,
                              Real firstDF);
 
          const Matrix& volatilityDerivative(Size i) const;
          const Matrix& priceDerivative(Size i) const;
 
          Real impliedVolatility() const;
 
 
 
        private:
            ext::shared_ptr<MarketModel> inputModel_;
      
            std::vector<Matrix> volatilityDerivatives_;
            
            std::vector<Matrix> priceDerivatives_;
 
            Real impliedVolatility_;
            Real vega_;
            Real firstDF_;
 
 
 
    };
 
}
 
#endif