InterpolatedYoYOptionletVolatilityCurve<Interpolator1D>::
InterpolatedYoYOptionletVolatilityCurve(Natural settlementDays,
const Calendar &cal,
BusinessDayConvention bdc,
const DayCounter& dc,
const Period &lag,
Frequency frequency,
bool indexIsInterpolated,
const std::vector<Date> &d,
const std::vector<Volatility> &v,
Rate minStrike,
Rate maxStrike,
const Interpolator1D &interpolator)
: YoYOptionletVolatilitySurface(settlementDays, cal, bdc, dc, lag,
frequency, indexIsInterpolated),
dates_(d), data_(v),
interpolator_(interpolator),
minStrike_(minStrike), maxStrike_(maxStrike) {
QL_REQUIRE(d.size() == v.size(),
"must have same number of dates and vols: "
<< d.size() << " vs " << v.size());
QL_REQUIRE(d.size() > 1,
"must have at least two dates: " << d.size());
for (Size i = 0; i < d.size(); i++ ){
times_.push_back( this->timeFromReference(dates_[i]) );
nodes_.push_back( std::make_pair( dates_[i], data_[i]) );
}
interpolation_ =
interpolator_.interpolate(times_.begin(),
times_.end(),
data_.begin() );
// set the base vol level to that predicted by the interpolation
// this is allowed by the extrapolation
Time baseTime = this->timeFromReference(baseDate());
setBaseLevel(interpolation_(baseTime,true));
}
Real value(Real x) const {
return std::exp(interpolation_(x, true));
}
Real InterpolatedSmileSection<Interpolator>::volatilityImpl(Real strike) const {
calculate();
return interpolation_(strike, true);
}
Real InterpolatedSmileSection<Interpolator>::varianceImpl(Real strike) const {
calculate();
Real v = interpolation_(strike, true);
return v*v*exerciseTime();
}
Real operator()(Time t) {
return interpolation_(t, true);
}
inline Volatility InterpolatedYoYOptionletVolatilityCurve<Interpolator1D>::
volatilityImpl(const Time t,
Rate) const {
return interpolation_(t);
}
