1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006 Ferdinando Ametrano
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file swaptionvoldiscrete.hpp
21 \brief Discretized swaption volatility
22*/
23
24#ifndef quantlib_swaption_volatility_discrete_h
25#define quantlib_swaption_volatility_discrete_h
26
27#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
28#include <ql/math/interpolation.hpp>
29#include <ql/patterns/lazyobject.hpp>
30
31namespace QuantLib {
32
33 class SwaptionVolatilityDiscrete : public LazyObject,
34 public SwaptionVolatilityStructure {
35 public:
36 SwaptionVolatilityDiscrete(const std::vector<Period>& optionTenors,
37 const std::vector<Period>& swapTenors,
38 Natural settlementDays,
39 const Calendar& cal,
40 BusinessDayConvention bdc,
41 const DayCounter& dc);
42 SwaptionVolatilityDiscrete(const std::vector<Period>& optionTenors,
43 const std::vector<Period>& swapTenors,
44 const Date& referenceDate,
45 const Calendar& cal,
46 BusinessDayConvention bdc,
47 const DayCounter& dc);
48 SwaptionVolatilityDiscrete(const std::vector<Date>& optionDates,
49 const std::vector<Period>& swapTenors,
50 const Date& referenceDate,
51 const Calendar& cal,
52 BusinessDayConvention bdc,
53 const DayCounter& dc);
54 const std::vector<Period>& optionTenors() const;
55 const std::vector<Date>& optionDates() const;
56 const std::vector<Time>& optionTimes() const;
57 const std::vector<Period>& swapTenors() const;
58 const std::vector<Time>& swapLengths() const;
59 //@}
60 //! \name Observer interface
61 //@{
62 void update() override;
63 //@}
64 //! \name LazyObject interface
65 //@{
66 void performCalculations() const override;
67 //@}
68 //! additional inspectors
69 Date optionDateFromTime(Time optionTime) const;
70
71 protected:
72 Size nOptionTenors_;
73 std::vector<Period> optionTenors_;
74 mutable std::vector<Date> optionDates_;
75 mutable std::vector<Time> optionTimes_;
76 mutable Interpolation optionInterpolator_;
77 mutable std::vector<Real> optionDatesAsReal_;
78 mutable std::vector<Time> optionInterpolatorTimes_;
79 mutable std::vector<Real> optionInterpolatorDatesAsReal_;
80
81 Size nSwapTenors_;
82 std::vector<Period> swapTenors_;
83 mutable std::vector<Time> swapLengths_;
84 mutable Date cachedReferenceDate_;
85 private:
86 void checkOptionTenors() const;
87 void checkOptionDates(const Date& reference) const;
88 void checkSwapTenors() const;
89 void initializeOptionDatesAndTimes() const;
90 void initializeOptionTimes() const;
91 void initializeSwapLengths() const;
92 };
93
94 // inline
95
96 inline const std::vector<Period>&
97 SwaptionVolatilityDiscrete::optionTenors() const {
98 return optionTenors_;
99 }
100
101 inline const std::vector<Date>&
102 SwaptionVolatilityDiscrete::optionDates() const {
103 return optionDates_;
104 }
105
106 inline const std::vector<Time>&
107 SwaptionVolatilityDiscrete::optionTimes() const {
108 return optionTimes_;
109 }
110
111 inline const std::vector<Period>&
112 SwaptionVolatilityDiscrete::swapTenors() const {
113 return swapTenors_;
114 }
115
116 inline const std::vector<Time>&
117 SwaptionVolatilityDiscrete::swapLengths() const {
118 return swapLengths_;
119 }
120
121 inline Date SwaptionVolatilityDiscrete::optionDateFromTime(Time optionTime) const {
122 return Date(static_cast<Date::serial_type>(optionInterpolator_(optionTime)));
123 }
124}
125
126#endif
127

source code of quantlib/ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp