At-the-money swaption-volatility matrix. More...

#include <swaptionvolmatrix.hpp>

Inheritance diagram for SwaptionVolatilityMatrix:

Collaboration diagram for SwaptionVolatilityMatrix:

Public Member Functions
	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 > >())
	floating reference date, floating market data More...

	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 > >())
	fixed reference date, floating market data More...

	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())
	floating reference date, fixed market data More...

	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())
	fixed reference date, fixed market data More...

	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())
	fixed reference date and fixed market data, option dates More...

	SwaptionVolatilityMatrix (SwaptionVolatilityMatrix &&)=delete

	SwaptionVolatilityMatrix (const SwaptionVolatilityMatrix &)=delete

SwaptionVolatilityMatrix &	operator= (SwaptionVolatilityMatrix &&)=delete

SwaptionVolatilityMatrix &	operator= (const SwaptionVolatilityMatrix &)=delete

	~SwaptionVolatilityMatrix () override=default

LazyObject interface
void	performCalculations () const override

TermStructure interface
Date	maxDate () const override
	the latest date for which the curve can return values More...

VolatilityTermStructure interface
Rate	minStrike () const override
	the minimum strike for which the term structure can return vols More...

Rate	maxStrike () const override
	the maximum strike for which the term structure can return vols More...

SwaptionVolatilityStructure interface
const Period &	maxSwapTenor () const override
	the largest length for which the term structure can return vols More...

Public Member Functions inherited from SwaptionVolatilityDiscrete
	SwaptionVolatilityDiscrete (const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)

	SwaptionVolatilityDiscrete (const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)

	SwaptionVolatilityDiscrete (const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)

const std::vector< Period > &	optionTenors () const

const std::vector< Date > &	optionDates () const

const std::vector< Time > &	optionTimes () const

const std::vector< Period > &	swapTenors () const

const std::vector< Time > &	swapLengths () const

void	update () override

Date	optionDateFromTime (Time optionTime) const
	additional inspectors More...

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from SwaptionVolatilityStructure
	SwaptionVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())

	SwaptionVolatilityStructure (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...

	SwaptionVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~SwaptionVolatilityStructure () override=default

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 More...

Volatility	volatility (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option date and swap tenor More...

Volatility	volatility (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option time and swap tenor More...

Volatility	volatility (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option tenor and swap length More...

Volatility	volatility (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option date and swap length More...

Volatility	volatility (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option time and swap length More...

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 More...

Real	blackVariance (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option date and swap tenor More...

Real	blackVariance (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option time and swap tenor More...

Real	blackVariance (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option tenor and swap length More...

Real	blackVariance (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option date and swap length More...

Real	blackVariance (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option time and swap length More...

Real	shift (const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const
	returns the shift for a given option tenor and swap tenor More...

Real	shift (const Date &optionDate, const Period &swapTenor, bool extrapolate=false) const
	returns the shift for a given option date and swap tenor More...

Real	shift (Time optionTime, const Period &swapTenor, bool extrapolate=false) const
	returns the shift for a given option time and swap tenor More...

Real	shift (const Period &optionTenor, Time swapLength, bool extrapolate=false) const
	returns the shift for a given option tenor and swap length More...

Real	shift (const Date &optionDate, Time swapLength, bool extrapolate=false) const
	returns the shift for a given option date and swap length More...

Real	shift (Time optionTime, Time swapLength, bool extrapolate=false) const
	returns the shift for a given option time and swap length More...

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 More...

ext::shared_ptr< SmileSection >	smileSection (const Date &optionDate, const Period &swapTenor, bool extr=false) const
	returns the smile for a given option date and swap tenor More...

ext::shared_ptr< SmileSection >	smileSection (Time optionTime, const Period &swapTenor, bool extr=false) const
	returns the smile for a given option time and swap tenor More...

ext::shared_ptr< SmileSection >	smileSection (const Period &optionTenor, Time swapLength, bool extr=false) const
	returns the smile for a given option tenor and swap length More...

ext::shared_ptr< SmileSection >	smileSection (const Date &optionDate, Time swapLength, bool extr=false) const
	returns the smile for a given option date and swap length More...

ext::shared_ptr< SmileSection >	smileSection (Time optionTime, Time swapLength, bool extr=false) const
	returns the smile for a given option time and swap length More...

Time	maxSwapLength () const
	the largest swapLength for which the term structure can return vols More...

Time	swapLength (const Period &swapTenor) const
	implements the conversion between swap tenor and swap (time) length More...

Time	swapLength (const Date &start, const Date &end) const
	implements the conversion between swap dates and swap (time) length More...

Public Member Functions inherited from VolatilityTermStructure
	VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())

	VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...

	VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

virtual BusinessDayConvention	businessDayConvention () const
	the business day convention used in tenor to date conversion More...

Date	optionDateFromTenor (const Period &) const
	period/date conversion More...

Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor More...

	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date More...

	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~TermStructure () override=default

virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion More...

Time	timeFromReference (const Date &date) const
	date/time conversion More...

virtual Time	maxTime () const
	the latest time for which the curve can return values More...

virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0 More...

virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation More...

virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation More...

Public Member Functions inherited from Extrapolator
	Extrapolator ()=default

virtual	~Extrapolator ()=default

void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...

void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...

bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...

Other inspectors
std::vector< std::vector< Handle< Quote > > >	volHandles_

std::vector< std::vector< Real > >	shiftValues_

Matrix	volatilities_

Matrix	shifts_

Interpolation2D	interpolation_

Interpolation2D	interpolationShifts_

VolatilityType	volatilityType_

std::pair< Size, Size >	locate (const Date &optionDate, const Period &swapTenor) const
	returns the lower indexes of surrounding volatility matrix corners More...

std::pair< Size, Size >	locate (Time optionTime, Time swapLength) const
	returns the lower indexes of surrounding volatility matrix corners More...

VolatilityType	volatilityType () const override
	volatility type More...

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

void	checkInputs (Size volRows, Size volsColumns, Size shiftRows, Size shiftsColumns) const

void	registerWithMarketData ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Member Functions inherited from SwaptionVolatilityStructure
virtual ext::shared_ptr< SmileSection >	smileSectionImpl (const Date &optionDate, const Period &swapTenor) const

virtual Volatility	volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const

virtual Real	shiftImpl (const Date &optionDate, const Period &swapTenor) const

void	checkSwapTenor (const Period &swapTenor, bool extrapolate) const

void	checkSwapTenor (Time swapLength, bool extrapolate) const

Protected Member Functions inherited from VolatilityTermStructure
void	checkStrike (Rate strike, bool extrapolate) const
	strike-range check More...

Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check More...

void	checkRange (Time t, bool extrapolate) const
	time-range check More...

Protected Attributes inherited from SwaptionVolatilityDiscrete
Size	nOptionTenors_

std::vector< Period >	optionTenors_

std::vector< Date >	optionDates_

std::vector< Time >	optionTimes_

Interpolation	optionInterpolator_

std::vector< Real >	optionDatesAsReal_

std::vector< Time >	optionInterpolatorTimes_

std::vector< Real >	optionInterpolatorDatesAsReal_

Size	nSwapTenors_

std::vector< Period >	swapTenors_

std::vector< Time >	swapLengths_

Date	cachedReferenceDate_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

At-the-money swaption-volatility matrix.

This class provides the at-the-money volatility for a given swaption by interpolating a volatility matrix whose elements are the market volatilities of a set of swaption with given option date and swapLength.

The volatility matrix M must be defined so that:

the number of rows equals the number of option dates;
the number of columns equals the number of swap tenors;
M[i][j] contains the volatility corresponding to the i-th option and j-th tenor.

Definition at line 51 of file swaptionvolmatrix.hpp.

Constructor & Destructor Documentation

◆ SwaptionVolatilityMatrix() [1/7]

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> >()`
	)

floating reference date, floating market data

Definition at line 36 of file swaptionvolmatrix.cpp.

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◆ SwaptionVolatilityMatrix() [2/7]

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> >()`
	)

fixed reference date, floating market data

Definition at line 73 of file swaptionvolmatrix.cpp.

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◆ SwaptionVolatilityMatrix() [3/7]

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()`
	)

floating reference date, fixed market data

Definition at line 111 of file swaptionvolmatrix.cpp.

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◆ SwaptionVolatilityMatrix() [4/7]

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()`
	)

fixed reference date, fixed market data

Definition at line 159 of file swaptionvolmatrix.cpp.

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◆ SwaptionVolatilityMatrix() [5/7]

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()`
	)

fixed reference date and fixed market data, option dates

Definition at line 208 of file swaptionvolmatrix.cpp.

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◆ SwaptionVolatilityMatrix() [6/7]

SwaptionVolatilityMatrix ( SwaptionVolatilityMatrix && )

delete

◆ SwaptionVolatilityMatrix() [7/7]

SwaptionVolatilityMatrix ( const SwaptionVolatilityMatrix & )

delete

◆ ~SwaptionVolatilityMatrix()

~SwaptionVolatilityMatrix ( )

overridedefault

Member Function Documentation

◆ operator=() [1/2]

SwaptionVolatilityMatrix & operator= ( SwaptionVolatilityMatrix && )

delete

◆ operator=() [2/2]

SwaptionVolatilityMatrix & operator= ( const SwaptionVolatilityMatrix & )

delete

◆ performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Reimplemented from SwaptionVolatilityDiscrete.

Definition at line 294 of file swaptionvolmatrix.cpp.

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◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 175 of file swaptionvolmatrix.hpp.

◆ minStrike()

Rate minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 179 of file swaptionvolmatrix.hpp.

◆ maxStrike()

Rate maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 183 of file swaptionvolmatrix.hpp.

◆ maxSwapTenor()

const Period & maxSwapTenor ( ) const

overridevirtual

the largest length for which the term structure can return vols

Implements SwaptionVolatilityStructure.

Definition at line 187 of file swaptionvolmatrix.hpp.

◆ locate() [1/2]

std::pair< Size, Size > locate	(	const Date &	optionDate,
		const Period &	swapTenor
	)		const

returns the lower indexes of surrounding volatility matrix corners

Definition at line 137 of file swaptionvolmatrix.hpp.

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◆ locate() [2/2]

std::pair< Size, Size > locate	(	Time	optionTime,
		Time	swapLength
	)		const

returns the lower indexes of surrounding volatility matrix corners

Definition at line 143 of file swaptionvolmatrix.hpp.

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◆ volatilityType()

VolatilityType volatilityType ( ) const

overridevirtual

volatility type

Reimplemented from SwaptionVolatilityStructure.

Definition at line 198 of file swaptionvolmatrix.hpp.

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◆ smileSectionImpl()

ext::shared_ptr< SmileSection > smileSectionImpl	(	Time	optionTime,
		Time	swapLength
	)		const

overrideprotectedvirtual

Implements SwaptionVolatilityStructure.

Definition at line 320 of file swaptionvolmatrix.cpp.

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◆ volatilityImpl()

Volatility volatilityImpl	(	Time	optionTime,
		Time	swapLength,
		Rate	strike
	)		const

overrideprotectedvirtual

Implements SwaptionVolatilityStructure.

Definition at line 191 of file swaptionvolmatrix.hpp.

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◆ shiftImpl()

Real shiftImpl	(	Time	optionTime,
		Time	swapLength
	)		const

overrideprotectedvirtual

Reimplemented from SwaptionVolatilityStructure.

Definition at line 202 of file swaptionvolmatrix.hpp.

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◆ checkInputs()

void checkInputs	(	Size	volRows,
		Size	volsColumns,
		Size	shiftRows,
		Size	shiftsColumns
	)		const

private

Definition at line 257 of file swaptionvolmatrix.cpp.

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◆ registerWithMarketData()

void registerWithMarketData ( )

private

Definition at line 287 of file swaptionvolmatrix.cpp.

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Member Data Documentation

◆ volHandles_

std::vector<std::vector<Handle<Quote> > > volHandles_

private

Definition at line 166 of file swaptionvolmatrix.hpp.

◆ shiftValues_

std::vector<std::vector<Real> > shiftValues_

private

Definition at line 167 of file swaptionvolmatrix.hpp.

◆ volatilities_

Matrix volatilities_

mutableprivate

Definition at line 168 of file swaptionvolmatrix.hpp.

◆ shifts_

Matrix shifts_

private

Definition at line 168 of file swaptionvolmatrix.hpp.

◆ interpolation_

Interpolation2D interpolation_

private

Definition at line 169 of file swaptionvolmatrix.hpp.

◆ interpolationShifts_

Interpolation2D interpolationShifts_

private

Definition at line 169 of file swaptionvolmatrix.hpp.

◆ volatilityType_

VolatilityType volatilityType_

private

Definition at line 170 of file swaptionvolmatrix.hpp.

Public Member Functions

Other inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ SwaptionVolatilityMatrix() [1/7]

◆ SwaptionVolatilityMatrix() [2/7]

◆ SwaptionVolatilityMatrix() [3/7]

◆ SwaptionVolatilityMatrix() [4/7]

◆ SwaptionVolatilityMatrix() [5/7]

◆ SwaptionVolatilityMatrix() [6/7]

◆ SwaptionVolatilityMatrix() [7/7]

◆ ~SwaptionVolatilityMatrix()

Member Function Documentation

◆ operator=() [1/2]

◆ operator=() [2/2]

◆ performCalculations()

◆ maxDate()

◆ minStrike()

◆ maxStrike()

◆ maxSwapTenor()

◆ locate() [1/2]

◆ locate() [2/2]

◆ volatilityType()

◆ smileSectionImpl()

◆ volatilityImpl()

◆ shiftImpl()

◆ checkInputs()

◆ registerWithMarketData()

Member Data Documentation

◆ volHandles_

◆ shiftValues_

◆ volatilities_

◆ shifts_

◆ interpolation_

◆ interpolationShifts_

◆ volatilityType_