swaptionvolcube.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2006 Ferdinando Ametrano

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <[e-mail]>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file swaptionvolcube.hpp
    \brief Swaption volatility cube
*/

#ifndef quantlib_swaption_volatility_cube_h
#define quantlib_swaption_volatility_cube_h

#include <ql/termstructures/volatilities/swaptionvoldiscrete.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/math/matrix.hpp>
#include <ql/quote.hpp>

namespace QuantLib {

    //! swaption-volatility cube
    /*! \warning this class is not finalized and its interface might
                 change in subsequent releases.
    */
    class SwaptionVolatilityCube : public SwaptionVolatilityDiscrete,
                                   public LazyObject  {
      public:
        SwaptionVolatilityCube(
            const Handle<SwaptionVolatilityStructure>& atmVolStructure,
            const std::vector<Period>& optionTenors,
            const std::vector<Period>& swapTenors,
            const std::vector<Spread>& strikeSpreads,
            const std::vector<std::vector<Handle<Quote> > >& volSpreads,
            const boost::shared_ptr<SwapIndex>& swapIndexBase,
            bool vegaWeightedSmileFit);
        //! \name TermStructure interface
        //@{
        DayCounter dayCounter() const { return atmVol_->dayCounter(); }
        Date maxDate() const { return atmVol_->maxDate(); }
        Time maxTime() const { return atmVol_->maxTime(); }
        const Date& referenceDate() const { return atmVol_->referenceDate();}
        Calendar calendar() const { return atmVol_->calendar(); }
        //@}
        //! \name LazyObject interface
        //@{
        void update() {
            TermStructure::update();
            LazyObject::update();
        };
        //@}
        //! \name SwaptionVolatilityStructure interface
        //@{
        const Period& maxSwapTenor() const { return atmVol_->maxSwapTenor(); }
        Time maxSwapLength() const { return atmVol_->maxSwapLength(); }
        Rate minStrike() const { return 0.0; }
        Rate maxStrike() const { return 1.0; }
        //@}
        //! \name Other inspectors
        //@{
        //virtual boost::shared_ptr<SmileSection> smileSectionImpl(
        //                                          Time optionTime,
        //                                          Time swapLength) const = 0;
        Rate atmStrike(const Date& optionDate,
                       const Period& swapTenor) const;
        Rate atmStrike(const Period& optionTenor,
                       const Period& swapTenor) const {
            Date optionDate = optionDateFromTenor(optionTenor);
            return atmStrike(optionDate, swapTenor);
        }
        //@}
      protected:
        //! \name SwaptionVolatilityStructure interface
        //@{
        std::pair<Time,Time> convertDates(const Date& optionDate,
                                          const Period& swapTenor) const {
            return atmVol_->convertDates(optionDate, swapTenor);
        }
        void registerWithVolatilitySpread();

        Volatility volatilityImpl(Time optionTime,
                                  Time swapLength,
                                  Rate strike) const;
        Volatility volatilityImpl(const Date& optionDate,
                                  const Period& swapTenor,
                                  Rate strike) const;
        Volatility volatilityImpl(const Period& optionTenor,
                                  const Period& swapTenor,
                                  Rate strike) const;
        //@}
        Handle<SwaptionVolatilityStructure> atmVol_;
        Size nStrikes_;
        std::vector<Spread> strikeSpreads_;
        mutable std::vector<Rate> localStrikes_;
        mutable std::vector<Volatility> localSmile_;
        std::vector<std::vector<Handle<Quote> > > volSpreads_;
        boost::shared_ptr<SwapIndex> swapIndexBase_;
        bool vegaWeightedSmileFit_;
    };

    // inline

    inline Volatility SwaptionVolatilityCube::volatilityImpl(
                                                        Time optionTime,
                                                        Time swapLength,
                                                        Rate strike) const {
            return smileSectionImpl(optionTime,
                                    swapLength)->volatility(strike);
    }

    inline Volatility SwaptionVolatilityCube::volatilityImpl(
                                                    const Date& optionDate,
                                                    const Period& swapTenor,
                                                    Rate strike) const {
            return smileSection(optionDate, swapTenor)->volatility(strike);
    }

    inline Volatility SwaptionVolatilityCube::volatilityImpl(
                                                    const Period& optionTenor,
                                                    const Period& swapTenor,
                                                    Rate strike) const {
            return smileSection(optionTenor, swapTenor)->volatility(strike);
    }
}

#endif