abcdatmvolcurve.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Cristina Duminuco
 Copyright (C) 2007 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.
*/
 
#include <ql/experimental/volatility/abcdatmvolcurve.hpp>
#include <ql/quote.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <utility>
 
namespace QuantLib {
 
    // floating reference date, floating market data
    AbcdAtmVolCurve::AbcdAtmVolCurve(Natural settlDays,
                                     const Calendar& cal,
                                     const std::vector<Period>& optionTenors,
                                     const std::vector<Handle<Quote> >& volsHandles,
                                     std::vector<bool> inclusionInInterpolationFlag,
                                     BusinessDayConvention bdc,
                                     const DayCounter& dc)
    : BlackAtmVolCurve(settlDays, cal, bdc, dc), nOptionTenors_(optionTenors.size()),
      optionTenors_(optionTenors), optionDates_(nOptionTenors_), optionTimes_(nOptionTenors_),
      actualOptionTimes_(nOptionTenors_), volHandles_(volsHandles), vols_(volsHandles.size()),
      actualVols_(volsHandles.size()),
      inclusionInInterpolation_(std::move(inclusionInInterpolationFlag)) {
        checkInputs();
        initializeOptionDatesAndTimes();
        initializeVolatilities();
        registerWithMarketData();
        for (Size i=0; i<vols_.size(); ++i)
            vols_[i] = volHandles_[i]->value();
        interpolate();
    }
 
    void AbcdAtmVolCurve::checkInputs() const
    {
        QL_REQUIRE(!optionTenors_.empty(), "empty option tenor vector");
        QL_REQUIRE(nOptionTenors_==vols_.size(),
                   "mismatch between number of option tenors (" <<
                   nOptionTenors_ << ") and number of volatilities (" <<
                   vols_.size() << ")");
        QL_REQUIRE(optionTenors_[0]>0*Days,
                   "negative first option tenor: " << optionTenors_[0]);
        for (Size i=1; i<nOptionTenors_; ++i)
            QL_REQUIRE(optionTenors_[i]>optionTenors_[i-1],
                       "non increasing option tenor: " << io::ordinal(i) <<
                       " is " << optionTenors_[i-1] << ", " <<
                       io::ordinal(i+1) << " is " << optionTenors_[i]);
        if (inclusionInInterpolation_.size()==1) {
            inclusionInInterpolation_.resize(nOptionTenors_);
            for(Size j=1; j<nOptionTenors_;++j)
                inclusionInInterpolation_[j] = inclusionInInterpolation_[0];
        } else
            QL_REQUIRE(nOptionTenors_==inclusionInInterpolation_.size(),
                       "mismatch between number of option tenors (" <<
                       nOptionTenors_ << ") and number of inclusion's flags (" <<
                       inclusionInInterpolation_.size() << ")");
    }
 
    void AbcdAtmVolCurve::registerWithMarketData()
    {
        for (auto& volHandle : volHandles_)
            registerWith(volHandle);
    }
 
    void AbcdAtmVolCurve::interpolate()
    {
        interpolation_ = ext::make_shared<AbcdInterpolation>(actualOptionTimes_.begin(),
                                              actualOptionTimes_.end(),
                                              actualVols_.begin());
    }
 
    void AbcdAtmVolCurve::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<AbcdAtmVolCurve>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            QL_FAIL("not a AbcdAtmVolCurve visitor");
    }
 
    void AbcdAtmVolCurve::update()
    {
        // recalculate dates if necessary...
        if (moving_) {
            Date d = Settings::instance().evaluationDate();
            if (evaluationDate_ != d) {
                evaluationDate_ = d;
                initializeOptionDatesAndTimes();
            }
        }
        BlackAtmVolCurve::update();
        LazyObject::update();
    }
 
    void AbcdAtmVolCurve::initializeOptionDatesAndTimes() const
    {
        // the input time data
        for (Size i=0; i<nOptionTenors_; ++i) {
            optionDates_[i] = optionDateFromTenor(optionTenors_[i]);
            optionTimes_[i] = timeFromReference(optionDates_[i]);
        }
        // the time data used for interpolation
        actualOptionTimes_.clear();
        for (Size i=0; i<nOptionTenors_; ++i) {
            if (inclusionInInterpolation_[i]) {
                actualOptionTimes_.push_back(optionTimes_[i]);
                actualOptionTenors_.push_back(optionTenors_[i]);
            }
        }
    }
 
    void AbcdAtmVolCurve::initializeVolatilities() {
 
        actualVols_.clear();
        for (Size i=0; i<nOptionTenors_; ++i) {
            vols_[i] = volHandles_[i]->value();
            if (inclusionInInterpolation_[i])
                actualVols_.push_back(vols_[i]);
        }
    }
 
    void AbcdAtmVolCurve::performCalculations() const
    {
        // check if date recalculation must be called here
        actualVols_.clear();
        for (Size i=0; i<vols_.size(); ++i) {
            vols_[i] = volHandles_[i]->value();
            if (inclusionInInterpolation_[i])
                actualVols_.push_back(vols_[i]);
        }
        interpolation_->update();
    }
 
}