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swaptionvolstructure.hpp
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2002, 2003 RiskMap srl
5 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
6 Copyright (C) 2006, 2008 Ferdinando Ametrano
7 Copyright (C) 2015 Peter Caspers
8
9 This file is part of QuantLib, a free-software/open-source library
10 for financial quantitative analysts and developers - http://quantlib.org/
11
12 QuantLib is free software: you can redistribute it and/or modify it
13 under the terms of the QuantLib license. You should have received a
14 copy of the license along with this program; if not, please email
15 <quantlib-dev@lists.sf.net>. The license is also available online at
16 <http://quantlib.org/license.shtml>.
17
18 This program is distributed in the hope that it will be useful, but WITHOUT
19 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
20 FOR A PARTICULAR PURPOSE. See the license for more details.
21*/
22
27#ifndef quantlib_swaption_volatility_structure_hpp
28#define quantlib_swaption_volatility_structure_hpp
29
30#include <ql/termstructures/voltermstructure.hpp>
31#include <ql/termstructures/volatility/volatilitytype.hpp>
32
33namespace QuantLib {
34
35 class SmileSection;
36
38
41 class SwaptionVolatilityStructure : public VolatilityTermStructure {
42 public:
52 SwaptionVolatilityStructure(BusinessDayConvention bdc,
53 const DayCounter& dc = DayCounter());
55 SwaptionVolatilityStructure(const Date& referenceDate,
56 const Calendar& calendar,
57 BusinessDayConvention bdc,
58 const DayCounter& dc = DayCounter());
60 SwaptionVolatilityStructure(Natural settlementDays,
61 const Calendar&,
62 BusinessDayConvention bdc,
63 const DayCounter& dc = DayCounter());
65 ~SwaptionVolatilityStructure() override = default;
67
68
69 Volatility volatility(const Period& optionTenor,
70 const Period& swapTenor,
71 Rate strike,
72 bool extrapolate = false) const;
74 Volatility volatility(const Date& optionDate,
75 const Period& swapTenor,
76 Rate strike,
77 bool extrapolate = false) const;
79 Volatility volatility(Time optionTime,
80 const Period& swapTenor,
81 Rate strike,
82 bool extrapolate = false) const;
84 Volatility volatility(const Period& optionTenor,
85 Time swapLength,
86 Rate strike,
87 bool extrapolate = false) const;
89 Volatility volatility(const Date& optionDate,
90 Time swapLength,
91 Rate strike,
92 bool extrapolate = false) const;
94 Volatility volatility(Time optionTime,
95 Time swapLength,
96 Rate strike,
97 bool extrapolate = false) const;
98
100 Real blackVariance(const Period& optionTenor,
101 const Period& swapTenor,
102 Rate strike,
103 bool extrapolate = false) const;
105 Real blackVariance(const Date& optionDate,
106 const Period& swapTenor,
107 Rate strike,
108 bool extrapolate = false) const;
110 Real blackVariance(Time optionTime,
111 const Period& swapTenor,
112 Rate strike,
113 bool extrapolate = false) const;
115 Real blackVariance(const Period& optionTenor,
116 Time swapLength,
117 Rate strike,
118 bool extrapolate = false) const;
120 Real blackVariance(const Date& optionDate,
121 Time swapLength,
122 Rate strike,
123 bool extrapolate = false) const;
125 Real blackVariance(Time optionTime,
126 Time swapLength,
127 Rate strike,
128 bool extrapolate = false) const;
129
131 Real shift(const Period& optionTenor,
132 const Period& swapTenor,
133 bool extrapolate = false) const;
135 Real shift(const Date& optionDate,
136 const Period& swapTenor,
137 bool extrapolate = false) const;
139 Real shift(Time optionTime,
140 const Period& swapTenor,
141 bool extrapolate = false) const;
143 Real shift(const Period& optionTenor,
144 Time swapLength,
145 bool extrapolate = false) const;
147 Real shift(const Date& optionDate,
148 Time swapLength,
149 bool extrapolate = false) const;
151 Real shift(Time optionTime,
152 Time swapLength,
153 bool extrapolate = false) const;
154
156 ext::shared_ptr<SmileSection> smileSection(const Period& optionTenor,
157 const Period& swapTenor,
158 bool extr = false) const;
160 ext::shared_ptr<SmileSection> smileSection(const Date& optionDate,
161 const Period& swapTenor,
162 bool extr = false) const;
164 ext::shared_ptr<SmileSection> smileSection(Time optionTime,
165 const Period& swapTenor,
166 bool extr = false) const;
168 ext::shared_ptr<SmileSection> smileSection(const Period& optionTenor,
169 Time swapLength,
170 bool extr = false) const;
172 ext::shared_ptr<SmileSection> smileSection(const Date& optionDate,
173 Time swapLength,
174 bool extr = false) const;
176 ext::shared_ptr<SmileSection> smileSection(Time optionTime,
177 Time swapLength,
178 bool extr = false) const;
180
182
183 virtual const Period& maxSwapTenor() const = 0;
185 Time maxSwapLength() const;
187
188
189 virtual VolatilityType volatilityType() const {
190 return ShiftedLognormal;
191 }
193
194 Time swapLength(const Period& swapTenor) const;
196 Time swapLength(const Date& start,
197 const Date& end) const;
198 protected:
199 virtual ext::shared_ptr<SmileSection> smileSectionImpl(
200 const Date& optionDate,
201 const Period& swapTenor) const;
202 virtual ext::shared_ptr<SmileSection> smileSectionImpl(
203 Time optionTime,
204 Time swapLength) const = 0;
205 virtual Volatility volatilityImpl(const Date& optionDate,
206 const Period& swapTenor,
207 Rate strike) const;
208 virtual Volatility volatilityImpl(Time optionTime,
209 Time swapLength,
210 Rate strike) const = 0;
211 virtual Real shiftImpl(const Date &optionDate,
212 const Period &swapTenor) const;
213 virtual Real shiftImpl(Time optionTime, Time swapLength) const;
214 void checkSwapTenor(const Period& swapTenor,
215 bool extrapolate) const;
216 void checkSwapTenor(Time swapLength,
217 bool extrapolate) const;
218 };
219
220 // inline definitions
221
222 // 1. methods with Period-denominated exercise convert Period to Date and then
223 // use the equivalent Date-denominated exercise methods
224 inline Volatility
225 SwaptionVolatilityStructure::volatility(const Period& optionTenor,
226 const Period& swapTenor,
227 Rate strike,
228 bool extrapolate) const {
229 Date optionDate = optionDateFromTenor(optionTenor);
230 return volatility(optionDate, swapTenor, strike, extrapolate);
231 }
232
233 inline Volatility
234 SwaptionVolatilityStructure::volatility(const Period& optionTenor,
235 Time swapLength,
236 Rate strike,
237 bool extrapolate) const {
238 Date optionDate = optionDateFromTenor(optionTenor);
239 return volatility(optionDate, swapLength, strike, extrapolate);
240 }
241
242 inline
243 Real SwaptionVolatilityStructure::blackVariance(const Period& optionTenor,
244 const Period& swapTenor,
245 Rate strike,
246 bool extrapolate) const {
247 Date optionDate = optionDateFromTenor(optionTenor);
248 return blackVariance(optionDate, swapTenor, strike, extrapolate);
249 }
250
251 inline
252 Real SwaptionVolatilityStructure::blackVariance(const Period& optionTenor,
253 Time swapLength,
254 Rate strike,
255 bool extrapolate) const {
256 Date optionDate = optionDateFromTenor(optionTenor);
257 return blackVariance(optionDate, swapLength, strike, extrapolate);
258 }
259
260 inline
261 Real SwaptionVolatilityStructure::shift(const Period& optionTenor,
262 const Period& swapTenor,
263 bool extrapolate) const {
264 Date optionDate = optionDateFromTenor(optionTenor);
265 return shift(optionDate, swapTenor, extrapolate);
266 }
267
268 inline
269 Real SwaptionVolatilityStructure::shift(const Period& optionTenor,
270 Time swapLength,
271 bool extrapolate) const {
272 Date optionDate = optionDateFromTenor(optionTenor);
273 return shift(optionDate, swapLength, extrapolate);
274 }
275
276 inline ext::shared_ptr<SmileSection>
277 SwaptionVolatilityStructure::smileSection(const Period& optionTenor,
278 const Period& swapTenor,
279 bool extrapolate) const {
280 Date optionDate = optionDateFromTenor(optionTenor);
281 return smileSection(optionDate, swapTenor, extrapolate);
282 }
283
284 // 2. blackVariance methods rely on volatility methods
285 inline
286 Real SwaptionVolatilityStructure::blackVariance(const Date& optionDate,
287 const Period& swapTenor,
288 Rate strike,
289 bool extrapolate) const {
290 Volatility v = volatility(optionDate, swapTenor, strike, extrapolate);
291 Time optionTime = timeFromReference(optionDate);
292 return v*v*optionTime;
293 }
294
295 inline
296 Real SwaptionVolatilityStructure::blackVariance(Time optionTime,
297 const Period& swapTenor,
298 Rate strike,
299 bool extrapolate) const {
300 Volatility v = volatility(optionTime, swapTenor, strike, extrapolate);
301 return v*v*optionTime;
302 }
303
304 inline
305 Real SwaptionVolatilityStructure::blackVariance(const Date& optionDate,
306 Time swapLength,
307 Rate strike,
308 bool extrapolate) const {
309 Volatility v = volatility(optionDate, swapLength, strike, extrapolate);
310 Time optionTime = timeFromReference(optionDate);
311 return v*v*optionTime;
312 }
313
314 inline
315 Real SwaptionVolatilityStructure::blackVariance(Time optionTime,
316 Time swapLength,
317 Rate strike,
318 bool extrapolate) const {
319 Volatility v = volatility(optionTime, swapLength, strike, extrapolate);
320 return v*v*optionTime;
321 }
322
323 // 3. relying on xxxImpl methods
324 inline Volatility
325 SwaptionVolatilityStructure::volatility(const Date& optionDate,
326 const Period& swapTenor,
327 Rate strike,
328 bool extrapolate) const {
329 checkSwapTenor(swapTenor, extrapolate);
330 checkRange(optionDate, extrapolate);
331 checkStrike(strike, extrapolate);
332 return volatilityImpl(optionDate, swapTenor, strike);
333 }
334
335 inline Volatility
336 SwaptionVolatilityStructure::volatility(const Date& optionDate,
337 Time swapLength,
338 Rate strike,
339 bool extrapolate) const {
340 checkSwapTenor(swapLength, extrapolate);
341 checkRange(optionDate, extrapolate);
342 checkStrike(strike, extrapolate);
343 Time optionTime = timeFromReference(optionDate);
344 return volatilityImpl(optionTime, swapLength, strike);
345 }
346
347 inline Volatility
348 SwaptionVolatilityStructure::volatility(Time optionTime,
349 const Period& swapTenor,
350 Rate strike,
351 bool extrapolate) const {
352 checkSwapTenor(swapTenor, extrapolate);
353 checkRange(optionTime, extrapolate);
354 checkStrike(strike, extrapolate);
355 Time length = swapLength(swapTenor);
356 return volatilityImpl(optionTime, length, strike);
357 }
358
359 inline Volatility
360 SwaptionVolatilityStructure::volatility(Time optionTime,
361 Time swapLength,
362 Rate strike,
363 bool extrapolate) const {
364 checkSwapTenor(swapLength, extrapolate);
365 checkRange(optionTime, extrapolate);
366 checkStrike(strike, extrapolate);
367 return volatilityImpl(optionTime, swapLength, strike);
368 }
369
370 inline Real
371 SwaptionVolatilityStructure::shift(const Date& optionDate,
372 const Period& swapTenor,
373 bool extrapolate) const {
374 checkSwapTenor(swapTenor, extrapolate);
375 checkRange(optionDate, extrapolate);
376 return shiftImpl(optionDate, swapTenor);
377 }
378
379 inline Real
380 SwaptionVolatilityStructure::shift(const Date& optionDate,
381 Time swapLength,
382 bool extrapolate) const {
383 checkSwapTenor(swapLength, extrapolate);
384 checkRange(optionDate, extrapolate);
385 Time optionTime = timeFromReference(optionDate);
386 return shiftImpl(optionTime, swapLength);
387 }
388
389 inline Real
390 SwaptionVolatilityStructure::shift(Time optionTime,
391 const Period& swapTenor,
392 bool extrapolate) const {
393 checkSwapTenor(swapTenor, extrapolate);
394 checkRange(optionTime, extrapolate);
395 Time length = swapLength(swapTenor);
396 return shiftImpl(optionTime, length);
397 }
398
399 inline Real
400 SwaptionVolatilityStructure::shift(Time optionTime,
401 Time swapLength,
402 bool extrapolate) const {
403 checkSwapTenor(swapLength, extrapolate);
404 checkRange(optionTime, extrapolate);
405 return shiftImpl(optionTime, swapLength);
406 }
407
408 inline ext::shared_ptr<SmileSection>
409 SwaptionVolatilityStructure::smileSection(const Date& optionDate,
410 const Period& swapTenor,
411 bool extrapolate) const {
412 checkSwapTenor(swapTenor, extrapolate);
413 checkRange(optionDate, extrapolate);
414 return smileSectionImpl(optionDate, swapTenor);
415 }
416
417 inline ext::shared_ptr<SmileSection>
418 SwaptionVolatilityStructure::smileSection(Time optionTime,
419 const Period& swapTenor,
420 bool extrapolate) const {
421 checkSwapTenor(swapTenor, extrapolate);
422 checkRange(optionTime, extrapolate);
423 return smileSection(optionTime, swapLength(swapTenor));
424 }
425
426 inline ext::shared_ptr<SmileSection>
427 SwaptionVolatilityStructure::smileSection(const Period& optionTenor,
428 Time swapLength,
429 bool extrapolate) const {
430 checkSwapTenor(swapLength, extrapolate);
431 Date optionDate = optionDateFromTenor(optionTenor);
432 checkRange(optionDate, extrapolate);
433 return smileSection(optionDate, swapLength);
434 }
435
436 inline ext::shared_ptr<SmileSection>
437 SwaptionVolatilityStructure::smileSection(const Date& optionDate,
438 Time swapLength,
439 bool extrapolate) const {
440 checkSwapTenor(swapLength, extrapolate);
441 checkRange(optionDate, extrapolate);
442 return smileSection(timeFromReference(optionDate), swapLength);
443 }
444
445 inline ext::shared_ptr<SmileSection>
446 SwaptionVolatilityStructure::smileSection(Time optionTime,
447 Time swapLength,
448 bool extrapolate) const {
449 checkSwapTenor(swapLength, extrapolate);
450 checkRange(optionTime, extrapolate);
451 return smileSectionImpl(optionTime, swapLength);
452 }
453
454 // 4. default implementation of Date-based xxxImpl methods
455 // relying on the equivalent Time-based methods
456 inline ext::shared_ptr<SmileSection>
457 SwaptionVolatilityStructure::smileSectionImpl(const Date& optionDate,
458 const Period& swapT) const {
459 return smileSectionImpl(timeFromReference(optionDate),
460 swapLength(swapT));
461 }
462
463 inline Volatility
464 SwaptionVolatilityStructure::volatilityImpl(const Date& optionDate,
465 const Period& swapTenor,
466 Rate strike) const {
467 return volatilityImpl(timeFromReference(optionDate),
468 swapLength(swapTenor),
469 strike);
470 }
471
472 inline Real
473 SwaptionVolatilityStructure::shiftImpl(const Date &optionDate,
474 const Period &swapTenor) const {
475 return shiftImpl(timeFromReference(optionDate), swapLength(swapTenor));
476 }
477
478 inline Real SwaptionVolatilityStructure::shiftImpl(Time, Time) const {
479 QL_REQUIRE(
480 volatilityType() == ShiftedLognormal,
481 "shift parameter only makes sense for lognormal volatilities");
482 return 0.0;
483 }
484
485 inline Time SwaptionVolatilityStructure::maxSwapLength() const {
486 return swapLength(maxSwapTenor());
487 }
488
489}
490
491#endif
QuantLib::Calendar
calendar class
Definition: calendar.hpp:61
QuantLib::Date
Concrete date class.
Definition: date.hpp:125
QuantLib::DayCounter
day counter class
Definition: daycounter.hpp:44
QuantLib::SwaptionVolatilityStructure::smileSection
ext::shared_ptr< SmileSection > smileSection(const Period &optionTenor, const Period &swapTenor, bool extr=false) const
returns the smile for a given option tenor and swap tenor
Definition: swaptionvolstructure.hpp:277
QuantLib::SwaptionVolatilityStructure::maxSwapTenor
virtual const Period & maxSwapTenor() const =0
the largest length for which the term structure can return vols
QuantLib::SwaptionVolatilityStructure::checkSwapTenor
void checkSwapTenor(const Period &swapTenor, bool extrapolate) const
Definition: swaptionvolstructure.cpp:70
QuantLib::SwaptionVolatilityStructure::shiftImpl
virtual Real shiftImpl(const Date &optionDate, const Period &swapTenor) const
Definition: swaptionvolstructure.hpp:473
QuantLib::SwaptionVolatilityStructure::smileSectionImpl
virtual ext::shared_ptr< SmileSection > smileSectionImpl(Time optionTime, Time swapLength) const =0
QuantLib::SwaptionVolatilityStructure::smileSectionImpl
virtual ext::shared_ptr< SmileSection > smileSectionImpl(const Date &optionDate, const Period &swapTenor) const
Definition: swaptionvolstructure.hpp:457
QuantLib::SwaptionVolatilityStructure::volatilityImpl
virtual Volatility volatilityImpl(Time optionTime, Time swapLength, Rate strike) const =0
QuantLib::SwaptionVolatilityStructure::shift
Real shift(const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const
returns the shift for a given option tenor and swap tenor
Definition: swaptionvolstructure.hpp:261
QuantLib::SwaptionVolatilityStructure::blackVariance
Real blackVariance(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const
returns the Black variance for a given option tenor and swap tenor
Definition: swaptionvolstructure.hpp:243
QuantLib::SwaptionVolatilityStructure::swapLength
Time swapLength(const Period &swapTenor) const
implements the conversion between swap tenor and swap (time) length
Definition: swaptionvolstructure.cpp:47
QuantLib::SwaptionVolatilityStructure::volatility
Volatility volatility(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const
returns the volatility for a given option tenor and swap tenor
Definition: swaptionvolstructure.hpp:225
QuantLib::SwaptionVolatilityStructure::~SwaptionVolatilityStructure
~SwaptionVolatilityStructure() override=default
QuantLib::SwaptionVolatilityStructure::volatilityType
virtual VolatilityType volatilityType() const
volatility type
Definition: swaptionvolstructure.hpp:189
QuantLib::SwaptionVolatilityStructure::volatilityImpl
virtual Volatility volatilityImpl(const Date &optionDate, const Period &swapTenor, Rate strike) const
Definition: swaptionvolstructure.hpp:464
QuantLib::SwaptionVolatilityStructure::maxSwapLength
Time maxSwapLength() const
the largest swapLength for which the term structure can return vols
Definition: swaptionvolstructure.hpp:485
QuantLib::TermStructure::settlementDays
virtual Natural settlementDays() const
the settlementDays used for reference date calculation
Definition: termstructure.hpp:127
QuantLib::TermStructure::referenceDate
virtual const Date & referenceDate() const
the date at which discount = 1.0 and/or variance = 0.0
Definition: termstructure.cpp:39
QuantLib::TermStructure::calendar
virtual Calendar calendar() const
the calendar used for reference and/or option date calculation
Definition: termstructure.hpp:123
QuantLib::TermStructure::timeFromReference
Time timeFromReference(const Date &date) const
date/time conversion
Definition: termstructure.hpp:133
QuantLib::TermStructure::checkRange
void checkRange(const Date &d, bool extrapolate) const
date-range check
Definition: termstructure.cpp:54
QuantLib::VolatilityTermStructure
Volatility term structure.
Definition: voltermstructure.hpp:36
QuantLib::VolatilityTermStructure::checkStrike
void checkStrike(Rate strike, bool extrapolate) const
strike-range check
Definition: voltermstructure.cpp:40
QuantLib::VolatilityTermStructure::optionDateFromTenor
Date optionDateFromTenor(const Period &) const
period/date conversion
Definition: voltermstructure.hpp:84
QuantLib::BusinessDayConvention
BusinessDayConvention
Business Day conventions.
Definition: businessdayconvention.hpp:41
QuantLib::Time
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QuantLib::Real
QL_REAL Real
real number
Definition: types.hpp:50
QuantLib::Natural
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
QuantLib::Volatility
Real Volatility
volatility
Definition: types.hpp:78
QuantLib::Rate
Real Rate
interest rates
Definition: types.hpp:70
QuantLib
Definition: any.hpp:35
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