bumpinstrumentjacobian.hpp

/* -*- 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_bump_instrument_jacobian_hpp
#define quantlib_bump_instrument_jacobian_hpp
 
 
#include <ql/models/marketmodels/marketmodel.hpp>
#include <ql/models/marketmodels/pathwisegreeks/vegabumpcluster.hpp>
#include <valarray>
 
namespace QuantLib
{   
    class VolatilityBumpInstrumentJacobian
    {
    public:
 
        struct Swaption
        {
            Size startIndex_;
            Size endIndex_;
        };
 
        struct Cap
        {
            Size startIndex_;
            Size endIndex_;
            Real strike_;
 
        };
 
    
        VolatilityBumpInstrumentJacobian(const VegaBumpCollection& bumps,
            const std::vector<Swaption>& swaptions,
            const std::vector<Cap>& caps);
 
 
        const VegaBumpCollection& getInputBumps() const
        {
            return bumps_;
        }
 
        std::vector<Real> derivativesVolatility(Size j) const;
 
        std::vector<Real> onePercentBump(
            Size j) const; // vector of smallest size that changes instrument implied vol by 1
                           // percent i.e. 0.01 v / <v,v> with v result of derivativesVolatility
 
        const Matrix& getAllOnePercentBumps() const;
 
    private:
         VegaBumpCollection bumps_;
         std::vector<Swaption> swaptions_;
         std::vector<Cap> caps_;
         mutable std::valarray<bool> computed_;
         mutable bool allComputed_;
         mutable std::vector<std::vector<Real> > derivatives_;
         
         mutable std::vector<std::vector<Real> > onePercentBumps_;
         mutable Matrix bumpMatrix_;
    };
 
    class OrthogonalizedBumpFinder
    {
        public:
            OrthogonalizedBumpFinder(const VegaBumpCollection& bumps,
                                     const std::vector<VolatilityBumpInstrumentJacobian::Swaption>& swaptions,
                                     const std::vector<VolatilityBumpInstrumentJacobian::Cap>& caps,
                                     Real multiplierCutOff, // if vector length grows by more than this discard
                                     Real tolerance);      // if vector projection before scaling less than this discard
 
            void GetVegaBumps(std::vector<std::vector<Matrix> >& theBumps) const; // this is precisely the vector to pass into PathwiseVegasAccountingEngine
             
 
        private:
 
            VolatilityBumpInstrumentJacobian derivativesProducer_;
            Real multiplierCutOff_;
            Real tolerance_;
 
 
    };
 
 
  
 
}
 
#endif