ctsmmcapletcalibration.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Ferdinando Ametrano
 Copyright (C) 2007 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_ctsmm_caplet_calibration_hpp
#define quantlib_ctsmm_caplet_calibration_hpp
 
#include <ql/models/marketmodels/curvestate.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <ql/models/marketmodels/piecewiseconstantcorrelation.hpp>
#include <ql/shared_ptr.hpp>
#include <vector>
 
namespace QuantLib {
 
    class PiecewiseConstantVariance;
    class Matrix;
 
    class CTSMMCapletCalibration {
      public:
        virtual ~CTSMMCapletCalibration() = default;
        CTSMMCapletCalibration(
            EvolutionDescription evolution,
            ext::shared_ptr<PiecewiseConstantCorrelation> corr,
            std::vector<ext::shared_ptr<PiecewiseConstantVariance> > displacedSwapVariances,
            std::vector<Volatility> mktCapletVols, // displaced??
            ext::shared_ptr<CurveState> cs,
            Spread displacement); // ??
        // modifiers
        bool calibrate(Natural numberOfFactors,
 
                       Natural maxIterations,
                       Real tolerance,
 
                       Natural innerMaxIterations = 100,
                       Real innerTolerance = 1e-8);
        // inspectors
        Natural failures() const;
        Real deformationSize() const;
 
        Real capletRmsError() const;
        Real capletMaxError() const;
        Real swaptionRmsError() const;
        Real swaptionMaxError() const;
 
        const std::vector<Matrix>& swapPseudoRoots() const;
        const Matrix& swapPseudoRoot(Size i) const;
 
        const std::vector<Volatility>& mktCapletVols() const;
        const std::vector<Volatility>& mdlCapletVols() const;
        const std::vector<Volatility>& mktSwaptionVols() const;
        const std::vector<Volatility>& mdlSwaptionVols() const;
        const std::vector<Volatility>& timeDependentCalibratedSwaptionVols(Size i) const;
        const std::vector<Volatility>& timeDependentUnCalibratedSwaptionVols(Size i) const;
 
 
        static void performChecks(
            const EvolutionDescription& evolution,
            const PiecewiseConstantCorrelation& corr,
            const std::vector<ext::shared_ptr<
                        PiecewiseConstantVariance> >&
                                    displacedSwapVariances,
            const std::vector<Volatility>& mktCapletVols,
            const CurveState& cs);
 
        const ext::shared_ptr<CurveState>& curveState() const;
        std::vector<Spread> displacements() const;
      protected:
        virtual Natural calibrationImpl_(Natural numberOfFactors,
 
                                         Natural innerMaxIterations,
                                         Real innerTolerance) = 0;
        // input
        EvolutionDescription evolution_;
        ext::shared_ptr<PiecewiseConstantCorrelation> corr_;
        std::vector<ext::shared_ptr<PiecewiseConstantVariance> >
                                                displacedSwapVariances_;
        
        std::vector<Volatility> mktCapletVols_, mdlCapletVols_;
        std::vector<Volatility> mktSwaptionVols_, mdlSwaptionVols_;
        std::vector<std::vector<Volatility> > timeDependentCalibratedSwaptionVols_;
        
        ext::shared_ptr<CurveState> cs_;
        Spread displacement_;
        Size numberOfRates_;
        // working variables
        std::vector<Volatility> usedCapletVols_;
        // results
        bool calibrated_;
        Natural failures_;
        Real deformationSize_;
        Real capletRmsError_, capletMaxError_;
        Real swaptionRmsError_, swaptionMaxError_;
        std::vector<Matrix> swapCovariancePseudoRoots_;
    };
 
    // inline
 
    inline const std::vector<Volatility>&
    CTSMMCapletCalibration::mktCapletVols() const {
        return mktCapletVols_;
    }
 
    inline const std::vector<Volatility>&
    CTSMMCapletCalibration::mdlCapletVols() const {
        QL_REQUIRE(calibrated_, "not successfully calibrated yet");
        return mdlCapletVols_;
    }
 
    inline const std::vector<Volatility>&
    CTSMMCapletCalibration::mktSwaptionVols() const {
        return mktSwaptionVols_;
    }
 
    inline const std::vector<Volatility>&
    CTSMMCapletCalibration::mdlSwaptionVols() const {
        QL_REQUIRE(calibrated_, "not successfully calibrated yet");
        return mdlSwaptionVols_;
    }
 
    inline Natural CTSMMCapletCalibration::failures() const {
        QL_REQUIRE(calibrated_, "not successfully calibrated yet");
        return failures_;
    }
 
    inline Real CTSMMCapletCalibration::deformationSize() const {
        QL_REQUIRE(calibrated_, "not successfully calibrated yet");
        return deformationSize_;
    }
 
    inline Real CTSMMCapletCalibration::capletRmsError() const {
        QL_REQUIRE(calibrated_, "not successfully calibrated yet");
        return capletRmsError_;
    }
 
    inline Real CTSMMCapletCalibration::capletMaxError() const {
        QL_REQUIRE(calibrated_, "not successfully calibrated yet");
        return capletMaxError_;
    }
 
    inline Real CTSMMCapletCalibration::swaptionRmsError() const {
        QL_REQUIRE(calibrated_, "not successfully calibrated yet");
        return swaptionRmsError_;
    }
 
    inline Real CTSMMCapletCalibration::swaptionMaxError() const {
        QL_REQUIRE(calibrated_, "not successfully calibrated yet");
        return swaptionMaxError_;
    }
 
    inline const std::vector<Matrix>&
    CTSMMCapletCalibration::swapPseudoRoots() const {
        QL_REQUIRE(calibrated_, "not successfully calibrated yet");
        return swapCovariancePseudoRoots_;
    }
 
    inline const Matrix&
    CTSMMCapletCalibration::swapPseudoRoot(Size i) const {
        QL_REQUIRE(calibrated_, "not successfully calibrated yet");
        QL_REQUIRE(i<swapCovariancePseudoRoots_.size(),
                   i << "is an invalid index, must be less than "
                   << swapCovariancePseudoRoots_.size());
        return swapCovariancePseudoRoots_[i];
    }
 
    inline const ext::shared_ptr<CurveState>&
    CTSMMCapletCalibration::curveState() const {
        return cs_;
    }
 
    inline std::vector<Spread>
    CTSMMCapletCalibration::displacements() const {
        return std::vector<Volatility>(numberOfRates_, displacement_);
    }
 
}
 
#endif