1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006 Ferdinando Ametrano
5 Copyright (C) 2006 Katiuscia Manzoni
6 Copyright (C) 2015 Peter Caspers
7 Copyright (C) 2023 Ignacio Anguita
8
9 This file is part of QuantLib, a free-software/open-source library
10 for financial quantitative analysts and developers - http://quantlib.org/
11
12 QuantLib is free software: you can redistribute it and/or modify it
13 under the terms of the QuantLib license. You should have received a
14 copy of the license along with this program; if not, please email
15 <quantlib-dev@lists.sf.net>. The license is also available online at
16 <http://quantlib.org/license.shtml>.
17
18 This program is distributed in the hope that it will be useful, but WITHOUT
19 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
20 FOR A PARTICULAR PURPOSE. See the license for more details.
21*/
22
23#include <ql/termstructures/volatility/swaption/interpolatedswaptionvolatilitycube.hpp>
24#include <ql/termstructures/volatility/interpolatedsmilesection.hpp>
25#include <ql/math/interpolations/bilinearinterpolation.hpp>
26#include <ql/math/rounding.hpp>
27#include <ql/indexes/swapindex.hpp>
28
29namespace QuantLib {
30
31 InterpolatedSwaptionVolatilityCube::InterpolatedSwaptionVolatilityCube(
32 const Handle<SwaptionVolatilityStructure>& atmVolStructure,
33 const std::vector<Period>& optionTenors,
34 const std::vector<Period>& swapTenors,
35 const std::vector<Spread>& strikeSpreads,
36 const std::vector<std::vector<Handle<Quote> > >& volSpreads,
37 const ext::shared_ptr<SwapIndex>& swapIndexBase,
38 const ext::shared_ptr<SwapIndex>& shortSwapIndexBase,
39 bool vegaWeightedSmileFit)
40 : SwaptionVolatilityCube(atmVolStructure, optionTenors, swapTenors,
41 strikeSpreads, volSpreads, swapIndexBase,
42 shortSwapIndexBase,
43 vegaWeightedSmileFit),
44 volSpreadsInterpolator_(nStrikes_),
45 volSpreadsMatrix_(nStrikes_, Matrix(optionTenors.size(), swapTenors.size(), 0.0)) {
46 }
47
48 void InterpolatedSwaptionVolatilityCube::performCalculations() const{
49
50 SwaptionVolatilityCube::performCalculations();
51 //! set volSpreadsMatrix_ by volSpreads_ quotes
52 for (Size i=0; i<nStrikes_; i++)
53 for (Size j=0; j<nOptionTenors_; j++)
54 for (Size k=0; k<nSwapTenors_; k++) {
55 volSpreadsMatrix_[i][j][k] =
56 volSpreads_[j*nSwapTenors_+k][i]->value();
57 }
58 //! create volSpreadsInterpolator_
59 for (Size i=0; i<nStrikes_; i++) {
60 volSpreadsInterpolator_[i] = BilinearInterpolation(
61 swapLengths_.begin(), swapLengths_.end(),
62 optionTimes_.begin(), optionTimes_.end(),
63 volSpreadsMatrix_[i]);
64 volSpreadsInterpolator_[i].enableExtrapolation();
65 }
66 }
67
68 ext::shared_ptr<SmileSection>
69 InterpolatedSwaptionVolatilityCube::smileSectionImpl(Time optionTime,
70 Time swapLength) const {
71
72 calculate();
73 Date optionDate = optionDateFromTime(optionTime);
74 Rounding rounder(0);
75 Period swapTenor(static_cast<Integer>(rounder(swapLength*12.0)), Months);
76 // ensure that option date is valid fixing date
77 optionDate =
78 swapTenor > shortSwapIndexBase_->tenor()
79 ? swapIndexBase_->fixingCalendar().adjust(optionDate, convention: Following)
80 : shortSwapIndexBase_->fixingCalendar().adjust(optionDate,
81 convention: Following);
82 return smileSectionImpl(optionDate, swapTenor);
83 }
84
85 ext::shared_ptr<SmileSection>
86 InterpolatedSwaptionVolatilityCube::smileSectionImpl(const Date& optionDate,
87 const Period& swapTenor) const {
88 calculate();
89 Rate atmForward = atmStrike(optionDate, swapTenor);
90 Volatility atmVol = atmVol_->volatility(optionDate,
91 swapTenor,
92 strike: atmForward);
93 Time optionTime = timeFromReference(d: optionDate);
94 Real exerciseTimeSqrt = std::sqrt(x: optionTime);
95 std::vector<Real> strikes, stdDevs;
96 strikes.reserve(n: nStrikes_);
97 stdDevs.reserve(n: nStrikes_);
98 Time length = swapLength(swapTenor);
99 for (Size i=0; i<nStrikes_; ++i) {
100 strikes.push_back(x: atmForward + strikeSpreads_[i]);
101 stdDevs.push_back(x: exerciseTimeSqrt*(
102 atmVol + volSpreadsInterpolator_[i](length, optionTime)));
103 }
104 Real shift = atmVol_->shift(optionTime,swapLength: length);
105 return ext::shared_ptr<SmileSection>(new
106 InterpolatedSmileSection<Linear>(optionTime,
107 strikes,
108 stdDevs,
109 atmForward,
110 Linear(),
111 Actual365Fixed(),
112 volatilityType(),
113 shift));
114 }
115}
116

source code of quantlib/ql/termstructures/volatility/swaption/interpolatedswaptionvolatilitycube.cpp