// 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_);
}
}
// fixed reference date, fixed market data
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
const Date& refDate,
const Calendar& cal,
BusinessDayConvention bdc,
const std::vector<Period>& optionT,
const std::vector<Period>& swapT,
const Matrix& vols,
const DayCounter& dc,
const bool flatExtrapolation,
const VolatilityType type,
const Matrix& shifts)
: SwaptionVolatilityDiscrete(optionT, swapT, refDate, cal, bdc, dc),
volHandles_(vols.rows()), shiftValues_(vols.rows()),
volatilities_(vols.rows(), vols.columns()),
shifts_(shifts.rows(), shifts.columns(), 0.0), volatilityType_(type) {
checkInputs(vols.rows(), vols.columns(), shifts.rows(), shifts.columns());
// fill dummy handles to allow generic handle-based
// computations later on
for (Size i=0; i<vols.rows(); ++i) {
volHandles_[i].resize(vols.columns());
shiftValues_[i].resize(vols.columns());
for (Size j=0; j<vols.columns(); ++j) {
volHandles_[i][j] = Handle<Quote>(boost::shared_ptr<Quote>(new
SimpleQuote(vols[i][j])));
shiftValues_[i][j] = shifts.rows() > 0 ? shifts[i][j] : 0.0;
}
}
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_);
}
}
