capletvariancecurve.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2005 Klaus Spanderen
 Copyright (C) 2015 Peter Caspers
 
 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_caplet_variance_curve_hpp
#define quantlib_caplet_variance_curve_hpp
 
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>
 
namespace QuantLib {
 
    class CapletVarianceCurve : public OptionletVolatilityStructure {
      public:
        CapletVarianceCurve(const Date &referenceDate,
                            const std::vector< Date > &dates,
                            const std::vector< Volatility > &capletVolCurve,
                            const DayCounter &dayCounter,
                            VolatilityType type = ShiftedLognormal,
                            Real displacement = 0.0);
 
        DayCounter dayCounter() const override;
        Date maxDate() const override;
        Real minStrike() const override;
        Real maxStrike() const override;
        VolatilityType volatilityType() const override;
        Real displacement() const override;
 
      protected:
        ext::shared_ptr<SmileSection> smileSectionImpl(Time t) const override;
        Volatility volatilityImpl(Time t, Rate) const override;
 
      private:
        BlackVarianceCurve blackCurve_;
        VolatilityType type_;
        Real displacement_;
    };
 
    inline CapletVarianceCurve::CapletVarianceCurve(
        const Date &referenceDate, const std::vector< Date > &dates,
        const std::vector< Volatility > &capletVolCurve,
        const DayCounter &dayCounter, VolatilityType type, Real displacement)
        : OptionletVolatilityStructure(referenceDate, Calendar(), Following),
          blackCurve_(referenceDate, dates, capletVolCurve, dayCounter, false),
          type_(type), displacement_(displacement) {}
 
    inline DayCounter CapletVarianceCurve::dayCounter() const {
        return blackCurve_.dayCounter();
    }
 
    inline Date CapletVarianceCurve::maxDate() const {
        return blackCurve_.maxDate();
    }
 
    inline Real CapletVarianceCurve::minStrike() const {
        return blackCurve_.minStrike();
    }
 
    inline Real CapletVarianceCurve::maxStrike() const {
        return blackCurve_.maxStrike();
    }
 
    inline ext::shared_ptr<SmileSection>
    CapletVarianceCurve::smileSectionImpl(Time t) const {
        // dummy strike
        Volatility atmVol = blackCurve_.blackVol(t, 0.05, true);
        return ext::make_shared<FlatSmileSection>(t, atmVol, dayCounter());
    }
 
    inline
    Volatility CapletVarianceCurve::volatilityImpl(Time t, Rate r) const {
        return blackCurve_.blackVol(t, r, true);
    }
 
    inline VolatilityType CapletVarianceCurve::volatilityType() const {
        return type_;
    }
 
    inline Real CapletVarianceCurve::displacement() const {
        return displacement_;
    }
}
 
#endif