inline Volatility
SwaptionVolatilityStructure::volatilityImpl(const Date& optionDate,
const Period& swapTenor,
Rate strike) const {
return volatilityImpl(timeFromReference(optionDate),
swapLength(swapTenor),
strike);
}
inline
Volatility CapFloorTermVolatilityStructure::volatility(Time t,
Rate strike,
bool extrap) const {
checkRange(t, extrap);
checkStrike(strike, extrap);
return volatilityImpl(t, strike);
}
inline Volatility
OptionletVolatilityStructure::volatility(Time optionTime,
Rate strike,
bool extrapolate) const {
checkRange(optionTime, extrapolate);
checkStrike(strike, extrapolate);
return volatilityImpl(optionTime, strike);
}
boost::shared_ptr<SmileSection>
SwaptionVolatilityMatrix::smileSectionImpl(Time optionTime,
Time swapLength) const {
// dummy strike
Volatility atmVol = volatilityImpl(optionTime, swapLength, 0.05);
return boost::shared_ptr<SmileSection>(new
FlatSmileSection(optionTime, atmVol, dayCounter()));
}
std::pair<std::vector<Rate>, std::vector<Volatility> >
KInterpolatedYoYOptionletVolatilitySurface<Interpolator1D>::
Dslice(const Date &d) const {
// make sure that the correct D slice is in slice_
Rate strike = (minStrike() + maxStrike())/2.0;
Volatility v = volatilityImpl(d, strike); v = v+v;//dummy but needed
return slice_;
}
boost::shared_ptr<SmileSection>
SwaptionVolatilityMatrix::smileSectionImpl(Time optionTime,
Time swapLength) const {
// dummy strike
Volatility atmVol = volatilityImpl(optionTime, swapLength, 0.05);
Real shift = interpolationShifts_(optionTime, swapLength,true);
return boost::shared_ptr<SmileSection>(new FlatSmileSection(
optionTime, atmVol, dayCounter(), Null<Real>(), shift));
}
inline Volatility
SwaptionVolatilityStructure::volatility(Time optionTime,
Time swapLength,
Rate strike,
bool extrapolate) const {
checkSwapTenor(swapLength, extrapolate);
checkRange(optionTime, extrapolate);
checkStrike(strike, extrapolate);
return volatilityImpl(optionTime, swapLength, strike);
}
// 3. relying on xxxImpl methods
inline Volatility
SwaptionVolatilityStructure::volatility(const Date& optionDate,
const Period& swapTenor,
Rate strike,
bool extrapolate) const {
checkSwapTenor(swapTenor, extrapolate);
checkRange(optionDate, extrapolate);
checkStrike(strike, extrapolate);
return volatilityImpl(optionDate, swapTenor, strike);
}
inline Volatility
SwaptionVolatilityStructure::volatility(Time optionTime,
const Period& swapTenor,
Rate strike,
bool extrapolate) const {
checkSwapTenor(swapTenor, extrapolate);
checkRange(optionTime, extrapolate);
checkStrike(strike, extrapolate);
Time length = swapLength(swapTenor);
return volatilityImpl(optionTime, length, strike);
}
Volatility
YoYOptionletVolatilitySurface::volatility(const Date& maturityDate,
Rate strike,
const Period &obsLag,
bool extrapolate) const {
Period useLag = obsLag;
if (obsLag==Period(-1,Days)) {
useLag = observationLag();
}
if (indexIsInterpolated()) {
YoYOptionletVolatilitySurface::checkRange(maturityDate-useLag, strike, extrapolate);
Time t = timeFromReference(maturityDate-useLag);
return volatilityImpl(t,strike);
} else {
std::pair<Date,Date> dd = inflationPeriod(maturityDate-useLag, frequency());
YoYOptionletVolatilitySurface::checkRange(dd.first, strike, extrapolate);
Time t = timeFromReference(dd.first);
return volatilityImpl(t,strike);
}
}
boost::shared_ptr<SmileSection>
StrippedOptionletAdapter::smileSectionImpl(Time t) const {
std::vector< Rate > optionletStrikes =
optionletStripper_->optionletStrikes(
0); // strikes are the same for all times ?!
std::vector< Real > stddevs;
for (Size i = 0; i < optionletStrikes.size(); i++) {
stddevs.push_back(volatilityImpl(t, optionletStrikes[i]) *
std::sqrt(t));
}
// Extrapolation may be a problem with splines, but since minStrike()
// and maxStrike() are set, we assume that no one will use stddevs for
// strikes outside these strikes
CubicInterpolation::BoundaryCondition bc =
optionletStrikes.size() >= 4 ? CubicInterpolation::Lagrange
: CubicInterpolation::SecondDerivative;
return boost::make_shared< InterpolatedSmileSection< Cubic > >(
t, optionletStrikes, stddevs, Null< Real >(),
Cubic(CubicInterpolation::Spline, false, bc, 0.0, bc, 0.0),
Actual365Fixed(), volatilityType(), displacement());
}
inline Volatility SmileSection::volatility(Rate strike) const {
return volatilityImpl(strike);
}
inline Real SmileSection::varianceImpl(Rate strike) const {
Volatility v = volatilityImpl(strike);
return v*v*exerciseTime();
}
inline Volatility
OptionletVolatilityStructure::volatilityImpl(const Date& optionDate,
Rate strike) const {
return volatilityImpl(timeFromReference(optionDate), strike);
}
