liborforwardmodel.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2005, 2006 Klaus Spanderen
 
 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_libor_forward_model_hpp
#define quantlib_libor_forward_model_hpp
 
#include <ql/legacy/libormarketmodels/lfmprocess.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp>
#include <ql/termstructures/volatility/optionlet/capletvariancecurve.hpp>
#include <ql/models/model.hpp>
#include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp>
 
namespace QuantLib {
 
 
    class LiborForwardModel : public CalibratedModel, public AffineModel {
      public:
        LiborForwardModel(
            const ext::shared_ptr<LiborForwardModelProcess> & process,
            const ext::shared_ptr<LmVolatilityModel>  & volaModel,
            const ext::shared_ptr<LmCorrelationModel> & corrModel);
 
        Rate S_0(Size alpha, Size beta) const;
        // approx. swaption matrix using Rebonato's approx.
        // fix and floating leg have the same frequency
        virtual ext::shared_ptr<SwaptionVolatilityMatrix>
            getSwaptionVolatilityMatrix() const;
 
        DiscountFactor discount(Time t) const override;
        Real discountBond(Time now, Time maturity, Array factors) const override;
        Real discountBondOption(Option::Type type,
                                Real strike,
                                Time maturity,
                                Time bondMaturity) const override;
 
        void setParams(const Array& params) override;
 
      protected:
        Array w_0(Size alpha, Size beta) const;
 
        std::vector<Real> f_;
        std::vector<Time> accrualPeriod_;
 
        const ext::shared_ptr<LfmCovarianceProxy> covarProxy_;
        const ext::shared_ptr<LiborForwardModelProcess> process_;
 
        mutable ext::shared_ptr<SwaptionVolatilityMatrix> swaptionVola;
    };
 
}
 
 
#endif