void BetaShifted_HGVolatilityParam::initializeShiftMatrix(
LMMTenorStructure_PTR pLMMTenorStructure,
const LowerTriangularMatrix& betas,
const std::vector<double>& liborsInitValues)
{
assert(betas.size1() == betas.size2() && betas.size2() == liborsInitValues.size() && pLMMTenorStructure->get_nbLIBOR());
//unused first column, first row is automatically null since it is lower triangular matrix
LowerTriangularMatrix m(betas.size1(), betas.size2());
for(size_t k=0; k<m.size1();++k)
{
shift_matrix_(k,0) = 1.0e100;
}
for(size_t liborIndex=1; liborIndex<m.size1();++liborIndex)
{
for(size_t timeIndex=1;timeIndex<=liborIndex;++timeIndex)
{
double beta = betas(liborIndex,timeIndex);
double liborInitValue = liborsInitValues[liborIndex];
shift_matrix_(liborIndex,timeIndex) = 1+ (1-beta)/beta*liborInitValue;
}
}
}
UpperTriangleVanillaSwaptionQuotes_ConstPTR UpperTriangleVanillaSwaptionQuotes::create_ATMSwaptionImpliedVol
(
LiborQuotes_ConstPTR libor_quotes_ptr,
const Tenor& fixedTenor,
const Tenor& floatingTenor,
LmmVanillaSwaptionApproxPricer_Rebonato_PTR black_vol_approx_ptr,
const double& strike_bump
)
{
LMMTenorStructure_PTR pLMMTenorStructure = libor_quotes_ptr->get_LMMTenorStructure_PTR() ;
size_t fix_float_ratio = fixedTenor.ratioTo(floatingTenor);
size_t lastLiborIndex = pLMMTenorStructure->get_nbLIBOR()-1;
assert(lastLiborIndex%fix_float_ratio == 0);
size_t last_year = lastLiborIndex / fix_float_ratio ;
size_t matrix_size = last_year + 1 ;
UpperTriangularDoubleMatrix swap_rate_matrix(matrix_size,matrix_size);
UpperTriangularDoubleMatrix black_vol_matrix(matrix_size,matrix_size);
//first row and first column never used
for(size_t k=0;k<matrix_size;++k)
{
swap_rate_matrix(k,0) = -1000000; swap_rate_matrix(0,k) = -1000000;
black_vol_matrix(k,0) = -1000000; black_vol_matrix(0,k) = -1000000;
}
const std::vector<double> & init_libor = libor_quotes_ptr->get_InitLibor();
LmmVanillaSwapPricer swap_pricer(pLMMTenorStructure);
for(size_t iMaturity=1;iMaturity<matrix_size;++iMaturity)
{
for(size_t jTenor=1;jTenor<matrix_size - iMaturity ;++jTenor)
{
size_t start_swap_index = iMaturity * fix_float_ratio;
size_t end_swap_index = (iMaturity+jTenor) * fix_float_ratio;
double empty_strike = -100000000;
VanillaSwap swap_ij(empty_strike,start_swap_index,end_swap_index,floatingTenor,fixedTenor,pLMMTenorStructure);
double swap_rate_ij = strike_bump+swap_pricer.swapRate_Analytical(swap_ij,init_libor);
swap_ij.set_strike(swap_rate_ij);
swap_rate_matrix(iMaturity,jTenor) = swap_rate_ij;
VanillaSwaption swaption_ij(swap_ij, OptionType::OptionType::CALL);
double black_vol_ij = black_vol_approx_ptr->volBlack(swaption_ij,init_libor);
black_vol_matrix(iMaturity,jTenor)=black_vol_ij;
}
}
UpperTriangleVanillaSwaptionQuotes_PTR atm_swaption_implied_vol
(new UpperTriangleVanillaSwaptionQuotes(
pLMMTenorStructure,
last_year,
fixedTenor,
floatingTenor,
swap_rate_matrix,
black_vol_matrix
)
);
atm_swaption_implied_vol->set_Data_FileName("VirtuallyCreatedData");
return atm_swaption_implied_vol;
}
