swaptionvolmatrix.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2006 François du Vignaud
 Copyright (C) 2006, 2008 Ferdinando Ametrano
 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_swaption_volatility_matrix_hpp
#define quantlib_swaption_volatility_matrix_hpp
 
#include <ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/math/matrix.hpp>
#include <vector>
 
namespace QuantLib {
 
    class Quote;
 
 
    class SwaptionVolatilityMatrix : public SwaptionVolatilityDiscrete {
      public:
        SwaptionVolatilityMatrix(
            const Calendar& calendar,
            BusinessDayConvention bdc,
            const std::vector<Period>& optionTenors,
            const std::vector<Period>& swapTenors,
            const std::vector<std::vector<Handle<Quote> > >& vols,
            const DayCounter& dayCounter,
            bool flatExtrapolation = false,
            VolatilityType type = ShiftedLognormal,
            const std::vector<std::vector<Real> >& shifts = std::vector<std::vector<Real> >());
        SwaptionVolatilityMatrix(
            const Date& referenceDate,
            const Calendar& calendar,
            BusinessDayConvention bdc,
            const std::vector<Period>& optionTenors,
            const std::vector<Period>& swapTenors,
            const std::vector<std::vector<Handle<Quote> > >& vols,
            const DayCounter& dayCounter,
            bool flatExtrapolation = false,
            VolatilityType type = ShiftedLognormal,
            const std::vector<std::vector<Real> >& shifts = std::vector<std::vector<Real> >());
        SwaptionVolatilityMatrix(const Calendar& calendar,
                                 BusinessDayConvention bdc,
                                 const std::vector<Period>& optionTenors,
                                 const std::vector<Period>& swapTenors,
                                 const Matrix& volatilities,
                                 const DayCounter& dayCounter,
                                 bool flatExtrapolation = false,
                                 VolatilityType type = ShiftedLognormal,
                                 const Matrix& shifts = Matrix());
        SwaptionVolatilityMatrix(const Date& referenceDate,
                                 const Calendar& calendar,
                                 BusinessDayConvention bdc,
                                 const std::vector<Period>& optionTenors,
                                 const std::vector<Period>& swapTenors,
                                 const Matrix& volatilities,
                                 const DayCounter& dayCounter,
                                 bool flatExtrapolation = false,
                                 VolatilityType type = ShiftedLognormal,
                                 const Matrix& shifts = Matrix());
        SwaptionVolatilityMatrix(const Date& referenceDate,
                                 const Calendar& calendar,
                                 BusinessDayConvention bdc,
                                 const std::vector<Date>& optionDates,
                                 const std::vector<Period>& swapTenors,
                                 const Matrix& volatilities,
                                 const DayCounter& dayCounter,
                                 bool flatExtrapolation = false,
                                 VolatilityType type = ShiftedLognormal,
                                 const Matrix& shifts = Matrix());
 
        // make class non-copyable and non-movable
        SwaptionVolatilityMatrix(SwaptionVolatilityMatrix&&) = delete;
        SwaptionVolatilityMatrix(const SwaptionVolatilityMatrix&) = delete;
        SwaptionVolatilityMatrix& operator=(SwaptionVolatilityMatrix&&) = delete;
        SwaptionVolatilityMatrix& operator=(const SwaptionVolatilityMatrix&) = delete;
 
        ~SwaptionVolatilityMatrix() override = default;
 
 
        void performCalculations() const override;
 
        Date maxDate() const override;
 
        Rate minStrike() const override;
        Rate maxStrike() const override;
 
        const Period& maxSwapTenor() const override;
 
 
        std::pair<Size,Size> locate(const Date& optionDate,
                                    const Period& swapTenor) const {
            return locate(timeFromReference(optionDate),
                          swapLength(swapTenor));
        }
        std::pair<Size,Size> locate(Time optionTime,
                                    Time swapLength) const {
            return std::make_pair(interpolation_.locateY(optionTime),
                                  interpolation_.locateX(swapLength));
        }
        VolatilityType volatilityType() const override;
 
      protected:
        // defining the following method would break CMS test suite
        // to be further investigated
        //ext::shared_ptr<SmileSection> smileSectionImpl(const Date&,
        //                                                 const Period&) const;
        ext::shared_ptr<SmileSection> smileSectionImpl(Time, Time) const override;
        Volatility volatilityImpl(Time optionTime, Time swapLength, Rate strike) const override;
        Real shiftImpl(Time optionTime, Time swapLength) const override;
 
      private:
        void checkInputs(Size volRows,
                         Size volsColumns,
                         Size shiftRows,
                         Size shiftsColumns) const;
        void registerWithMarketData();
        std::vector<std::vector<Handle<Quote> > > volHandles_;
        std::vector<std::vector<Real> > shiftValues_;
        mutable Matrix volatilities_, shifts_;
        Interpolation2D interpolation_, interpolationShifts_;
        VolatilityType volatilityType_;
    };
 
    // inline definitions
 
    inline Date SwaptionVolatilityMatrix::maxDate() const {
        return optionDates_.back();
    }
 
    inline Rate SwaptionVolatilityMatrix::minStrike() const {
        return -QL_MAX_REAL;
    }
 
    inline Rate SwaptionVolatilityMatrix::maxStrike() const {
        return QL_MAX_REAL;
    }
 
    inline const Period& SwaptionVolatilityMatrix::maxSwapTenor() const {
        return swapTenors_.back();
    }
 
    inline Volatility SwaptionVolatilityMatrix::volatilityImpl(Time optionTime,
                                                               Time swapLength,
                                                               Rate) const {
        calculate();
        return interpolation_(swapLength, optionTime, true);
    }
 
    inline VolatilityType SwaptionVolatilityMatrix::volatilityType() const {
        return volatilityType_;
    }
 
    inline Real SwaptionVolatilityMatrix::shiftImpl(Time optionTime,
                                                    Time swapLength) const {
        calculate();
        Real tmp = interpolationShifts_(swapLength, optionTime, true);
        return tmp;
    }
} // namespace QuantLib
 
#endif