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Public Member Functions | List of all members
SwaptionVolatilityCube Class Reference

swaption-volatility cube More...

#include <swaptionvolcube.hpp>

+ Inheritance diagram for SwaptionVolatilityCube:
+ Collaboration diagram for SwaptionVolatilityCube:

Public Member Functions

 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)
 
TermStructure interface
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 DatereferenceDate () 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...
 
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 PeriodmaxSwapTenor () const override
 the largest length for which the term structure can return vols More...
 
Other inspectors
Rate atmStrike (const Date &optionDate, const Period &swapTenor) const
 
Rate atmStrike (const Period &optionTenor, const Period &swapTenor) const
 
Handle< SwaptionVolatilityStructureatmVol () const
 
const std::vector< Spread > & strikeSpreads () const
 
const std::vector< std::vector< Handle< Quote > > > & volSpreads () const
 
ext::shared_ptr< SwapIndexswapIndexBase () const
 
ext::shared_ptr< SwapIndexshortSwapIndexBase () const
 
bool vegaWeightedSmileFit () const
 
- 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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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< SmileSectionsmileSection (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< SmileSectionsmileSection (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< SmileSectionsmileSection (Time optionTime, const Period &swapTenor, bool extr=false) const
 returns the smile for a given option time and swap tenor More...
 
ext::shared_ptr< SmileSectionsmileSection (const Period &optionTenor, Time swapLength, bool extr=false) const
 returns the smile for a given option tenor and swap length More...
 
ext::shared_ptr< SmileSectionsmileSection (const Date &optionDate, Time swapLength, bool extr=false) const
 returns the smile for a given option date and swap length More...
 
ext::shared_ptr< SmileSectionsmileSection (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...
 

LazyObject interface

Handle< SwaptionVolatilityStructureatmVol_
 
Size nStrikes_
 
std::vector< SpreadstrikeSpreads_
 
std::vector< RatelocalStrikes_
 
std::vector< VolatilitylocalSmile_
 
std::vector< std::vector< Handle< Quote > > > volSpreads_
 
ext::shared_ptr< SwapIndexswapIndexBase_
 
ext::shared_ptr< SwapIndexshortSwapIndexBase_
 
bool vegaWeightedSmileFit_
 
void performCalculations () const override
 
VolatilityType volatilityType () const override
 volatility type More...
 
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
 

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< SmileSectionsmileSectionImpl (const Date &optionDate, const Period &swapTenor) const
 
virtual ext::shared_ptr< SmileSectionsmileSectionImpl (Time optionTime, Time swapLength) const =0
 
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< PeriodoptionTenors_
 
std::vector< DateoptionDates_
 
std::vector< TimeoptionTimes_
 
Interpolation optionInterpolator_
 
std::vector< RealoptionDatesAsReal_
 
std::vector< TimeoptionInterpolatorTimes_
 
std::vector< RealoptionInterpolatorDatesAsReal_
 
Size nSwapTenors_
 
std::vector< PeriodswapTenors_
 
std::vector< TimeswapLengths_
 
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

swaption-volatility cube

Warning:
this class is not finalized and its interface might change in subsequent releases.

Definition at line 40 of file swaptionvolcube.hpp.

Constructor & Destructor Documentation

◆ 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 
)

Definition at line 28 of file swaptionvolcube.cpp.

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Member Function Documentation

◆ dayCounter()

DayCounter dayCounter ( ) const
overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 52 of file swaptionvolcube.hpp.

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 53 of file swaptionvolcube.hpp.

◆ maxTime()

Time maxTime ( ) const
overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

Definition at line 54 of file swaptionvolcube.hpp.

◆ referenceDate()

const Date & referenceDate ( ) const
overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

Definition at line 55 of file swaptionvolcube.hpp.

◆ calendar()

Calendar calendar ( ) const
overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 56 of file swaptionvolcube.hpp.

◆ settlementDays()

Natural settlementDays ( ) const
overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

Definition at line 57 of file swaptionvolcube.hpp.

◆ minStrike()

Rate minStrike ( ) const
overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 60 of file swaptionvolcube.hpp.

◆ maxStrike()

Rate maxStrike ( ) const
overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 61 of file swaptionvolcube.hpp.

◆ maxSwapTenor()

const Period & maxSwapTenor ( ) const
overridevirtual

the largest length for which the term structure can return vols

Implements SwaptionVolatilityStructure.

Definition at line 65 of file swaptionvolcube.hpp.

◆ atmStrike() [1/2]

Rate atmStrike ( const Date optionDate,
const Period swapTenor 
) const

Definition at line 89 of file swaptionvolcube.cpp.

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◆ atmStrike() [2/2]

Rate atmStrike ( const Period optionTenor,
const Period swapTenor 
) const

Definition at line 71 of file swaptionvolcube.hpp.

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◆ atmVol()

Handle< SwaptionVolatilityStructure > atmVol ( ) const

Definition at line 76 of file swaptionvolcube.hpp.

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◆ strikeSpreads()

const std::vector< Spread > & strikeSpreads ( ) const

Definition at line 77 of file swaptionvolcube.hpp.

◆ volSpreads()

const std::vector< std::vector< Handle< Quote > > > & volSpreads ( ) const

Definition at line 78 of file swaptionvolcube.hpp.

◆ swapIndexBase()

ext::shared_ptr< SwapIndex > swapIndexBase ( ) const

Definition at line 79 of file swaptionvolcube.hpp.

◆ shortSwapIndexBase()

ext::shared_ptr< SwapIndex > shortSwapIndexBase ( ) const

Definition at line 80 of file swaptionvolcube.hpp.

◆ vegaWeightedSmileFit()

bool vegaWeightedSmileFit ( ) const

Definition at line 81 of file swaptionvolcube.hpp.

◆ performCalculations()

void performCalculations ( ) const
overridevirtual

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

Implements LazyObject.

Definition at line 85 of file swaptionvolcube.hpp.

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◆ volatilityType()

VolatilityType volatilityType ( ) const
overridevirtual

volatility type

Reimplemented from SwaptionVolatilityStructure.

Definition at line 114 of file swaptionvolcube.hpp.

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◆ registerWithVolatilitySpread()

void registerWithVolatilitySpread ( )
protected

Definition at line 81 of file swaptionvolcube.cpp.

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◆ requiredNumberOfStrikes()

virtual Size requiredNumberOfStrikes ( ) const
protectedvirtual

Reimplemented in XabrSwaptionVolatilityCube< Model >.

Definition at line 97 of file swaptionvolcube.hpp.

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◆ volatilityImpl() [1/2]

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

Implements SwaptionVolatilityStructure.

Definition at line 118 of file swaptionvolcube.hpp.

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◆ volatilityImpl() [2/2]

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

Reimplemented from SwaptionVolatilityStructure.

Definition at line 125 of file swaptionvolcube.hpp.

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◆ shiftImpl()

Real shiftImpl ( Time  optionTime,
Time  swapLength 
) const
overrideprotectedvirtual

Reimplemented from SwaptionVolatilityStructure.

Definition at line 132 of file swaptionvolcube.hpp.

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Member Data Documentation

◆ atmVol_

Handle<SwaptionVolatilityStructure> atmVol_
protected

Definition at line 102 of file swaptionvolcube.hpp.

◆ nStrikes_

Size nStrikes_
protected

Definition at line 103 of file swaptionvolcube.hpp.

◆ strikeSpreads_

std::vector<Spread> strikeSpreads_
protected

Definition at line 104 of file swaptionvolcube.hpp.

◆ localStrikes_

std::vector<Rate> localStrikes_
mutableprotected

Definition at line 105 of file swaptionvolcube.hpp.

◆ localSmile_

std::vector<Volatility> localSmile_
mutableprotected

Definition at line 106 of file swaptionvolcube.hpp.

◆ volSpreads_

std::vector<std::vector<Handle<Quote> > > volSpreads_
protected

Definition at line 107 of file swaptionvolcube.hpp.

◆ swapIndexBase_

ext::shared_ptr<SwapIndex> swapIndexBase_
protected

Definition at line 108 of file swaptionvolcube.hpp.

◆ shortSwapIndexBase_

ext::shared_ptr<SwapIndex> shortSwapIndexBase_
protected

Definition at line 108 of file swaptionvolcube.hpp.

◆ vegaWeightedSmileFit_

bool vegaWeightedSmileFit_
protected

Definition at line 109 of file swaptionvolcube.hpp.