Interpolated Swaption Volatility Cube. More...
#include <interpolatedswaptionvolatilitycube.hpp>
Inheritance diagram for InterpolatedSwaptionVolatilityCube:
Collaboration diagram for InterpolatedSwaptionVolatilityCube:
Public Member Functions | |
| InterpolatedSwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const ext::shared_ptr< SwapIndex > &swapIndexBase, const ext::shared_ptr< SwapIndex > &shortSwapIndexBase, bool vegaWeightedSmileFit) | |
LazyObject interface | |
| void | performCalculations () const override |
| Public Member Functions inherited from SwaptionVolatilityCube | |
| SwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, std::vector< std::vector< Handle< Quote > > > volSpreads, ext::shared_ptr< SwapIndex > swapIndexBase, ext::shared_ptr< SwapIndex > shortSwapIndexBase, bool vegaWeightedSmileFit) | |
| DayCounter | dayCounter () const override |
| the day counter used for date/time conversion More... | |
| Date | maxDate () const override |
| the latest date for which the curve can return values More... | |
| Time | maxTime () const override |
| the latest time for which the curve can return values More... | |
| const Date & | referenceDate () const override |
| the date at which discount = 1.0 and/or variance = 0.0 More... | |
| Calendar | calendar () const override |
| the calendar used for reference and/or option date calculation More... | |
| Natural | settlementDays () const override |
| the settlementDays used for reference date calculation More... | |
| 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... | |
| const Period & | maxSwapTenor () const override |
| the largest length for which the term structure can return vols More... | |
| Rate | atmStrike (const Date &optionDate, const Period &swapTenor) const |
| Rate | atmStrike (const Period &optionTenor, const Period &swapTenor) const |
| Handle< SwaptionVolatilityStructure > | atmVol () const |
| const std::vector< Spread > & | strikeSpreads () const |
| const std::vector< std::vector< Handle< Quote > > > & | volSpreads () const |
| ext::shared_ptr< SwapIndex > | swapIndexBase () const |
| ext::shared_ptr< SwapIndex > | shortSwapIndexBase () const |
| bool | vegaWeightedSmileFit () const |
| void | performCalculations () const override |
| VolatilityType | volatilityType () const override |
| volatility type 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 |
| void | performCalculations () const 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 | |
| Time | timeFromReference (const Date &date) const |
| date/time conversion 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... | |
SwaptionVolatilityCube inspectors | |
| std::vector< Interpolation2D > | volSpreadsInterpolator_ |
| std::vector< Matrix > | volSpreadsMatrix_ |
| const Matrix & | volSpreads (Size i) const |
| ext::shared_ptr< SmileSection > | smileSectionImpl (const Date &optionDate, const Period &swapTenor) const override |
| ext::shared_ptr< SmileSection > | smileSectionImpl (Time optionTime, Time swapLength) const override |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from SwaptionVolatilityCube | |
| void | registerWithVolatilitySpread () |
| virtual Size | requiredNumberOfStrikes () const |
| Volatility | volatilityImpl (Time optionTime, Time swapLength, Rate strike) const override |
| Volatility | volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const override |
| Real | shiftImpl (Time optionTime, Time swapLength) const override |
| Protected Member Functions inherited from LazyObject | |
| virtual void | calculate () const |
| Protected Member Functions inherited from SwaptionVolatilityStructure | |
| 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 SwaptionVolatilityCube | |
| Handle< SwaptionVolatilityStructure > | atmVol_ |
| Size | nStrikes_ |
| std::vector< Spread > | strikeSpreads_ |
| std::vector< Rate > | localStrikes_ |
| std::vector< Volatility > | localSmile_ |
| std::vector< std::vector< Handle< Quote > > > | volSpreads_ |
| ext::shared_ptr< SwapIndex > | swapIndexBase_ |
| ext::shared_ptr< SwapIndex > | shortSwapIndexBase_ |
| bool | vegaWeightedSmileFit_ |
| 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
Interpolated Swaption Volatility Cube.
This class implements the Interpolated Swaption Volatility Cube, which is able to interpolate between the volatility spreads provided.
Definition at line 38 of file interpolatedswaptionvolatilitycube.hpp.
Constructor & Destructor Documentation
◆ InterpolatedSwaptionVolatilityCube()
| InterpolatedSwaptionVolatilityCube | ( | const Handle< SwaptionVolatilityStructure > & | atmVolStructure, |
| const std::vector< Period > & | optionTenors, | ||
| const std::vector< Period > & | swapTenors, | ||
| const std::vector< Spread > & | strikeSpreads, | ||
| const std::vector< std::vector< Handle< Quote > > > & | volSpreads, | ||
| const ext::shared_ptr< SwapIndex > & | swapIndexBase, | ||
| const ext::shared_ptr< SwapIndex > & | shortSwapIndexBase, | ||
| bool | vegaWeightedSmileFit | ||
| ) |
The swaption vol cube is made up of ordered swaption vol surface layers, each layer referring to a swap index of a given length (in years), all indexes belonging to the same family. In order to identify the family (and its market conventions) an index of whatever length from that family must be passed in as swapIndexBase.
Often for short swap length the swap index family is different, e.g. the EUR case: swap vs 6M Euribor is used for length>1Y, while swap vs 3M Euribor is used for the 1Y length. The shortSwapIndexBase is used to identify this second family.
Definition at line 31 of file interpolatedswaptionvolatilitycube.cpp.
Member Function Documentation
◆ performCalculations()
|
overridevirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
Definition at line 48 of file interpolatedswaptionvolatilitycube.cpp.
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◆ volSpreads()
Definition at line 67 of file interpolatedswaptionvolatilitycube.hpp.
◆ smileSectionImpl() [1/2]
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overridevirtual |
Reimplemented from SwaptionVolatilityStructure.
Definition at line 86 of file interpolatedswaptionvolatilitycube.cpp.
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◆ smileSectionImpl() [2/2]
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overridevirtual |
Implements SwaptionVolatilityStructure.
Definition at line 69 of file interpolatedswaptionvolatilitycube.cpp.
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Member Data Documentation
◆ volSpreadsInterpolator_
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mutableprivate |
Definition at line 74 of file interpolatedswaptionvolatilitycube.hpp.
◆ volSpreadsMatrix_
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mutableprivate |
Definition at line 75 of file interpolatedswaptionvolatilitycube.hpp.