// fixed reference date, floating market data
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
const Date& refDate,
const Calendar& cal,
BusinessDayConvention bdc,
const std::vector<Period>& optionT,
const std::vector<Period>& swapT,
const std::vector<std::vector<Handle<Quote> > >& vols,
const DayCounter& dc,
const bool flatExtrapolation,
const std::vector<std::vector<Real> >& shifts)
: SwaptionVolatilityDiscrete(optionT, swapT, refDate, cal, bdc, dc),
volHandles_(vols), shiftValues_(shifts),
volatilities_(vols.size(), vols.front().size()),
shifts_(vols.size(), vols.front().size(), 0.0) {
checkInputs(volatilities_.rows(), volatilities_.columns(),
shifts.size(), shifts.size() == 0 ? 0 : shifts.front().size());
registerWithMarketData();
if (flatExtrapolation) {
interpolation_ =
FlatExtrapolator2D(boost::make_shared<BilinearInterpolation>(
swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(), volatilities_));
interpolationShifts_ =
FlatExtrapolator2D(boost::make_shared<BilinearInterpolation>(
swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(), shifts_));
} else {
interpolation_ = BilinearInterpolation(
swapLengths_.begin(), swapLengths_.end(), optionTimes_.begin(),
optionTimes_.end(), volatilities_);
interpolationShifts_ = BilinearInterpolation(
swapLengths_.begin(), swapLengths_.end(), optionTimes_.begin(),
optionTimes_.end(), shifts_);
}
}
// floating reference date, floating market data
AbcdAtmVolCurve::AbcdAtmVolCurve(
Natural settlDays,
const Calendar& cal,
const std::vector<Period>& optionTenors,
const std::vector<Handle<Quote> >& volsHandles,
const std::vector<bool> inclusionInInterpolationFlag,
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackAtmVolCurve(settlDays, cal, bdc, dc),
nOptionTenors_(optionTenors.size()),
optionTenors_(optionTenors),
optionDates_(nOptionTenors_),
optionTimes_(nOptionTenors_),
actualOptionTimes_(nOptionTenors_),
volHandles_(volsHandles),
vols_(volsHandles.size()),
actualVols_(volsHandles.size()),
inclusionInInterpolation_(inclusionInInterpolationFlag),
interpolation_(boost::shared_ptr<AbcdInterpolation>()) // do not initialize with nOptionTenors_
{
checkInputs();
initializeOptionDatesAndTimes();
initializeVolatilities();
registerWithMarketData();
for (Size i=0; i<vols_.size(); ++i)
vols_[i] = volHandles_[i]->value();
interpolate();
}
// fixed reference date, floating market data
CapFloorTermVolSurface::CapFloorTermVolSurface(
const Date& settlementDate,
const Calendar& calendar,
BusinessDayConvention bdc,
const std::vector<Period>& optionTenors,
const std::vector<Rate>& strikes,
const std::vector<std::vector<Handle<Quote> > >& vols,
const DayCounter& dc)
: CapFloorTermVolatilityStructure(settlementDate, calendar, bdc, dc),
nOptionTenors_(optionTenors.size()),
optionTenors_(optionTenors),
optionDates_(nOptionTenors_),
optionTimes_(nOptionTenors_),
nStrikes_(strikes.size()),
strikes_(strikes),
volHandles_(vols),
vols_(vols.size(), vols[0].size())
{
checkInputs();
initializeOptionDatesAndTimes();
for (Size i=0; i<nOptionTenors_; ++i)
QL_REQUIRE(volHandles_[i].size()==nStrikes_,
io::ordinal(i+1) << " row of vol handles has size " <<
volHandles_[i].size() << " instead of " << nStrikes_);
registerWithMarketData();
for (Size i=0; i<vols_.rows(); ++i)
for (Size j=0; j<vols_.columns(); ++j)
vols_[i][j] = volHandles_[i][j]->value();
interpolate();
}
// floating reference date, floating market data
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
const Calendar& cal,
BusinessDayConvention bdc,
const std::vector<Period>& optionT,
const std::vector<Period>& swapT,
const std::vector<std::vector<Handle<Quote> > >& vols,
const DayCounter& dc)
: SwaptionVolatilityDiscrete(optionT, swapT, 0, cal, bdc, dc),
volHandles_(vols),
volatilities_(vols.size(), vols.front().size()) {
checkInputs(volatilities_.rows(), volatilities_.columns());
registerWithMarketData();
interpolation_ =
BilinearInterpolation(swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(),
volatilities_);
}
SabrVolSurface::SabrVolSurface(
const boost::shared_ptr<InterestRateIndex>& index,
const Handle<BlackAtmVolCurve>& atmCurve,
const std::vector<Period>& optionTenors,
const std::vector<Spread>& atmRateSpreads,
const std::vector<std::vector<Handle<Quote> > >& volSpreads)
: InterestRateVolSurface(index),
atmCurve_(atmCurve),
optionTenors_(optionTenors),
optionTimes_(optionTenors.size()),
optionDates_(optionTenors.size()),
atmRateSpreads_(atmRateSpreads),
volSpreads_(volSpreads) {
checkInputs();
// Creation of reference smile sections
// Hard coded
isAlphaFixed_ = false;
isBetaFixed_ = false;
isNuFixed_ = false;
isRhoFixed_ = false;
vegaWeighted_ = true;
sabrGuesses_.resize(optionTenors_.size());
for (Size i=0; i<optionTenors_.size(); ++i) {
optionDates_[i] = optionDateFromTenor(optionTenors_[i]);
optionTimes_[i] = timeFromReference(optionDates_[i]);
// Hard coded
sabrGuesses_[i][0] = 0.025; // alpha
sabrGuesses_[i][1] = 0.5; // beta
sabrGuesses_[i][2] = 0.3; // rho
sabrGuesses_[i][3] = 0.0; // nu
}
registerWithMarketData();
}
// floating reference date, floating market data
SwaptionVolatilityHullWhite::SwaptionVolatilityHullWhite(const Real reversion, const Handle<YieldTermStructure>& yts, const boost::shared_ptr<SwapIndex> indexBase,
const Calendar& cal,
BusinessDayConvention bdc,
const std::vector<Period>& optionT,
const std::vector<Period>& swapT,
const std::vector<std::vector<Handle<Quote> > >& vols,
const DayCounter& dc)
: reversion_(reversion),yts_(yts),indexBase_(indexBase),SwaptionVolatilityDiscrete(optionT, swapT, 0, cal, bdc, dc),
volHandles_(vols),
hwsigmas_(vols.size(), vols.front().size()),
volatilities_(vols.size(), vols.front().size()) {
checkInputs(volatilities_.rows(), volatilities_.columns());
registerWithMarketData();
interpolation_ =
BilinearInterpolation(swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(),
volatilities_);
interpolationSigma_ =
BilinearInterpolation(swapLengths_.begin(), swapLengths_.end(),
optionTimes_.begin(), optionTimes_.end(),
hwsigmas_);
}
