swaptionvolcube2.hpp

来自「有很多的函数库」· HPP 代码 · 共 64 行

/* -*- 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 swaptionvolcube2.hpp
    \brief Swaption volatility cube, fit-later-interpolate-early approach
*/

#ifndef quantlib_swaption_volcube_fit_later_interpolate_early_h
#define quantlib_swaption_volcube_fit_later_interpolate_early_h

#include <ql/termstructures/volatilities/swaptionvolcube.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>

namespace QuantLib {

    class SwaptionVolCube2 : public SwaptionVolatilityCube{
      public:
        SwaptionVolCube2(
            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 LazyObject interface
        ////@{
        void performCalculations() const;
        ////@}
        //! \name SwaptionVolatilityCube inspectors
        //@{
        const Matrix& volSpreads(Size i) const { return volSpreadsMatrix_[i]; }
        boost::shared_ptr<SmileSection> smileSection(
                                              const Date& optionDate,
                                              const Period& swapTenor) const;
        boost::shared_ptr<SmileSection> smileSectionImpl(
                                              Time optionTime,
                                              Time swapLength) const;
        //@}
      private:
        mutable std::vector<Interpolation2D> volSpreadsInterpolator_;
        mutable std::vector<Matrix> volSpreadsMatrix_;
    };

}

#endif