vegabumpcluster.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_vega_bump_cluster_hpp
#define quantlib_vega_bump_cluster_hpp
 
#include <ql/types.hpp>
#include <ql/models/marketmodels/marketmodel.hpp>
 
/*! When bumping vols, bumping every pseudo-root element individually seems 
excessive so we need to couple some together. 
 
*/
 
namespace QuantLib
{
    class VegaBumpCluster
    {
    public:
 
        VegaBumpCluster(Size factorBegin,
                        Size factorEnd,
                        Size rateBegin,
                        Size rateEnd,
                        Size stepBegin,
                        Size stepEnd);
 
        bool doesIntersect(const VegaBumpCluster& comparee) const;
 
        bool isCompatible(const ext::shared_ptr<MarketModel>& volStructure) const;
        Size factorBegin() const
        {
            return factorBegin_;
        }
 
        Size factorEnd() const
        {
            return factorEnd_;
        }
        
            
        Size rateBegin() const
        {
            return rateBegin_;
        }
        Size rateEnd() const
        {
            return rateEnd_;
        }
 
        Size stepBegin() const
        {
            return stepBegin_;
        }
 
        Size stepEnd() const
        {
            return stepEnd_;
        }
 
 
    private:
        
        Size factorBegin_;
        Size factorEnd_;       
        Size rateBegin_;
        Size rateEnd_;       
        Size stepBegin_;
        Size stepEnd_;
 
    };
 
    /*! 
    There are too many pseudo-root elements to allow bumping them all independently so we cluster them together and 
    then divide all elements into a collection of such clusters. 
   
 
 
    */
 
    class VegaBumpCollection
    {
    public:
 
        VegaBumpCollection(const ext::shared_ptr<MarketModel>& volStructure, 
                           bool allowFactorwiseBumping = true);
 
        VegaBumpCollection(std::vector<VegaBumpCluster> allBumps,
                           ext::shared_ptr<MarketModel> volStructure);
 
        Size numberBumps() const;
 
        const ext::shared_ptr<MarketModel>& associatedModel() const
        {
            return associatedVolStructure_;
        }
 
 
        const std::vector<VegaBumpCluster>& allBumps() const;
 
        bool isFull() const; // i.e. is every alive pseudo-root element bumped at least once
        bool isNonOverlapping() const; // i.e. is every alive pseudo-root element bumped at most once
        bool isSensible() const; // i.e. is every alive pseudo-root element bumped precisely once
 
    
    private:
 
        std::vector<VegaBumpCluster> allBumps_;
        ext::shared_ptr<MarketModel> associatedVolStructure_;
        mutable bool checked_;
        mutable bool nonOverlapped_;
        mutable bool full_;
 
 
    };
 
}
 
#endif