QuantLib: XabrSwaptionVolatilityCube< Model

#include <sabrswaptionvolatilitycube.hpp>

Inheritance diagram for XabrSwaptionVolatilityCube< Model >:

Collaboration diagram for XabrSwaptionVolatilityCube< Model >:

Classes
class	Cube

class	PrivateObserver

Public Member Functions
	XabrSwaptionVolatilityCube (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 ext::shared_ptr< SwapIndex > &swapIndexBase, const ext::shared_ptr< SwapIndex > &shortSwapIndexBase, bool vegaWeightedSmileFit, std::vector< std::vector< Handle< Quote > > > parametersGuess, std::vector< bool > isParameterFixed, bool isAtmCalibrated, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), Real maxErrorTolerance=Null< Real >(), ext::shared_ptr< OptimizationMethod > optMethod=ext::shared_ptr< OptimizationMethod >(), Real errorAccept=Null< Real >(), bool useMaxError=false, Size maxGuesses=50, bool backwardFlat=false, Real cutoffStrike=0.0001)

LazyObject interface
void	performCalculations () const override

SwaptionVolatilityCube interface
ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const override

Public Member Functions inherited from SwaptionVolatilityCube
	SwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, std::vector< std::vector< Handle< Quote > > > volSpreads, ext::shared_ptr< SwapIndex > swapIndexBase, ext::shared_ptr< SwapIndex > shortSwapIndexBase, bool vegaWeightedSmileFit)

DayCounter	dayCounter () const override
	the day counter used for date/time conversion More...

Date	maxDate () const override
	the latest date for which the curve can return values More...

Time	maxTime () const override
	the latest time for which the curve can return values More...

const Date &	referenceDate () const override
	the date at which discount = 1.0 and/or variance = 0.0 More...

Calendar	calendar () const override
	the calendar used for reference and/or option date calculation More...

Natural	settlementDays () const override
	the settlementDays used for reference date calculation More...

Rate	minStrike () const override
	the minimum strike for which the term structure can return vols More...

Rate	maxStrike () const override
	the maximum strike for which the term structure can return vols More...

const Period &	maxSwapTenor () const override
	the largest length for which the term structure can return vols More...

Rate	atmStrike (const Date &optionDate, const Period &swapTenor) const

Rate	atmStrike (const Period &optionTenor, const Period &swapTenor) const

Handle< SwaptionVolatilityStructure >	atmVol () const

const std::vector< Spread > &	strikeSpreads () const

const std::vector< std::vector< Handle< Quote > > > &	volSpreads () const

ext::shared_ptr< SwapIndex >	swapIndexBase () const

ext::shared_ptr< SwapIndex >	shortSwapIndexBase () const

bool	vegaWeightedSmileFit () const

void	performCalculations () const override

VolatilityType	volatilityType () const override
	volatility type More...

Public Member Functions inherited from SwaptionVolatilityDiscrete
	SwaptionVolatilityDiscrete (const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)

	SwaptionVolatilityDiscrete (const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)

	SwaptionVolatilityDiscrete (const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)

const std::vector< Period > &	optionTenors () const

const std::vector< Date > &	optionDates () const

const std::vector< Time > &	optionTimes () const

const std::vector< Period > &	swapTenors () const

const std::vector< Time > &	swapLengths () const

void	update () override

void	performCalculations () const override

Date	optionDateFromTime (Time optionTime) const
	additional inspectors More...

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Public Member Functions inherited from Observable
	Observable ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from SwaptionVolatilityStructure
	SwaptionVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())

	SwaptionVolatilityStructure (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...

	SwaptionVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~SwaptionVolatilityStructure () override=default

Volatility	volatility (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option tenor and swap tenor More...

Volatility	volatility (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option date and swap tenor More...

Volatility	volatility (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option time and swap tenor More...

Volatility	volatility (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option tenor and swap length More...

Volatility	volatility (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option date and swap length More...

Volatility	volatility (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option time and swap length More...

Real	blackVariance (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option tenor and swap tenor More...

Real	blackVariance (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option date and swap tenor More...

Real	blackVariance (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option time and swap tenor More...

Real	blackVariance (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option tenor and swap length More...

Real	blackVariance (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option date and swap length More...

Real	blackVariance (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option time and swap length More...

Real	shift (const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const
	returns the shift for a given option tenor and swap tenor More...

Real	shift (const Date &optionDate, const Period &swapTenor, bool extrapolate=false) const
	returns the shift for a given option date and swap tenor More...

Real	shift (Time optionTime, const Period &swapTenor, bool extrapolate=false) const
	returns the shift for a given option time and swap tenor More...

Real	shift (const Period &optionTenor, Time swapLength, bool extrapolate=false) const
	returns the shift for a given option tenor and swap length More...

Real	shift (const Date &optionDate, Time swapLength, bool extrapolate=false) const
	returns the shift for a given option date and swap length More...

Real	shift (Time optionTime, Time swapLength, bool extrapolate=false) const
	returns the shift for a given option time and swap length More...

ext::shared_ptr< SmileSection >	smileSection (const Period &optionTenor, const Period &swapTenor, bool extr=false) const
	returns the smile for a given option tenor and swap tenor More...

ext::shared_ptr< SmileSection >	smileSection (const Date &optionDate, const Period &swapTenor, bool extr=false) const
	returns the smile for a given option date and swap tenor More...

ext::shared_ptr< SmileSection >	smileSection (Time optionTime, const Period &swapTenor, bool extr=false) const
	returns the smile for a given option time and swap tenor More...

ext::shared_ptr< SmileSection >	smileSection (const Period &optionTenor, Time swapLength, bool extr=false) const
	returns the smile for a given option tenor and swap length More...

ext::shared_ptr< SmileSection >	smileSection (const Date &optionDate, Time swapLength, bool extr=false) const
	returns the smile for a given option date and swap length More...

ext::shared_ptr< SmileSection >	smileSection (Time optionTime, Time swapLength, bool extr=false) const
	returns the smile for a given option time and swap length More...

Time	maxSwapLength () const
	the largest swapLength for which the term structure can return vols More...

Time	swapLength (const Period &swapTenor) const
	implements the conversion between swap tenor and swap (time) length More...

Time	swapLength (const Date &start, const Date &end) const
	implements the conversion between swap dates and swap (time) length More...

Public Member Functions inherited from VolatilityTermStructure
	VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())

	VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...

	VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

virtual BusinessDayConvention	businessDayConvention () const
	the business day convention used in tenor to date conversion More...

Date	optionDateFromTenor (const Period &) const
	period/date conversion More...

Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor More...

	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date More...

	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~TermStructure () override=default

Time	timeFromReference (const Date &date) const
	date/time conversion More...

Public Member Functions inherited from Extrapolator
	Extrapolator ()=default

virtual	~Extrapolator ()=default

void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...

void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...

bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...

Other inspectors
Cube	marketVolCube_

Cube	volCubeAtmCalibrated_

Cube	sparseParameters_

Cube	denseParameters_

std::vector< std::vector< ext::shared_ptr< SmileSection > > >	sparseSmiles_

std::vector< std::vector< Handle< Quote > > >	parametersGuessQuotes_

Cube	parametersGuess_

std::vector< bool >	isParameterFixed_

bool	isAtmCalibrated_

const ext::shared_ptr< EndCriteria >	endCriteria_

Real	maxErrorTolerance_

const ext::shared_ptr< OptimizationMethod >	optMethod_

Real	errorAccept_

const bool	useMaxError_

const Size	maxGuesses_

const bool	backwardFlat_

const Real	cutoffStrike_

VolatilityType	volatilityType_

ext::shared_ptr< PrivateObserver >	privateObserver_

const Matrix &	marketVolCube (Size i) const

Matrix	sparseSabrParameters () const

Matrix	denseSabrParameters () const

Matrix	marketVolCube () const

Matrix	volCubeAtmCalibrated () const

void	sabrCalibrationSection (const Cube &marketVolCube, Cube &parametersCube, const Period &swapTenor) const

void	recalibration (Real beta, const Period &swapTenor)

void	recalibration (const std::vector< Real > &beta, const Period &swapTenor)

void	recalibration (const std::vector< Period > &swapLengths, const std::vector< Real > &beta, const Period &swapTenor)

void	updateAfterRecalibration ()

void	registerWithParametersGuess ()

void	setParameterGuess () const

ext::shared_ptr< SmileSection >	smileSection (Time optionTime, Time swapLength, const Cube &sabrParametersCube) const

Cube	sabrCalibration (const Cube &marketVolCube) const

void	fillVolatilityCube () const

void	createSparseSmiles () const

std::vector< Real >	spreadVolInterpolation (const Date &atmOptionDate, const Period &atmSwapTenor) const

Size	requiredNumberOfStrikes () const override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from SwaptionVolatilityCube
void	registerWithVolatilitySpread ()

Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const override

Volatility	volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const override

Real	shiftImpl (Time optionTime, Time swapLength) const override

Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Member Functions inherited from SwaptionVolatilityStructure
virtual ext::shared_ptr< SmileSection >	smileSectionImpl (const Date &optionDate, const Period &swapTenor) const

virtual Real	shiftImpl (const Date &optionDate, const Period &swapTenor) const

void	checkSwapTenor (const Period &swapTenor, bool extrapolate) const

void	checkSwapTenor (Time swapLength, bool extrapolate) const

Protected Member Functions inherited from VolatilityTermStructure
void	checkStrike (Rate strike, bool extrapolate) const
	strike-range check More...

Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check More...

void	checkRange (Time t, bool extrapolate) const
	time-range check More...

Protected Attributes inherited from SwaptionVolatilityCube
Handle< SwaptionVolatilityStructure >	atmVol_

Size	nStrikes_

std::vector< Spread >	strikeSpreads_

std::vector< Rate >	localStrikes_

std::vector< Volatility >	localSmile_

std::vector< std::vector< Handle< Quote > > >	volSpreads_

ext::shared_ptr< SwapIndex >	swapIndexBase_

ext::shared_ptr< SwapIndex >	shortSwapIndexBase_

bool	vegaWeightedSmileFit_

Protected Attributes inherited from SwaptionVolatilityDiscrete
Size	nOptionTenors_

std::vector< Period >	optionTenors_

std::vector< Date >	optionDates_

std::vector< Time >	optionTimes_

Interpolation	optionInterpolator_

std::vector< Real >	optionDatesAsReal_

std::vector< Time >	optionInterpolatorTimes_

std::vector< Real >	optionInterpolatorDatesAsReal_

Size	nSwapTenors_

std::vector< Period >	swapTenors_

std::vector< Time >	swapLengths_

Date	cachedReferenceDate_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

template<class Model>
class QuantLib::XabrSwaptionVolatilityCube< Model >

XABR Swaption Volatility Cube.

This class implements the XABR Swaption Volatility Cube which is a generic for different SABR, ZABR and different smile models that can be used to instantiate concrete cubes.

Definition at line 63 of file sabrswaptionvolatilitycube.hpp.

Constructor & Destructor Documentation

◆ XabrSwaptionVolatilityCube()

XabrSwaptionVolatilityCube	(	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 ext::shared_ptr< SwapIndex > &	swapIndexBase,
		const ext::shared_ptr< SwapIndex > &	shortSwapIndexBase,
		bool	vegaWeightedSmileFit,
		std::vector< std::vector< Handle< Quote > > >	parametersGuess,
		std::vector< bool >	isParameterFixed,
		bool	isAtmCalibrated,
		ext::shared_ptr< EndCriteria >	endCriteria = `ext::shared_ptr<EndCriteria>()`,
		Real	maxErrorTolerance = `Null<Real>()`,
		ext::shared_ptr< OptimizationMethod >	optMethod = `ext::shared_ptr<OptimizationMethod>()`,
		Real	errorAccept = `Null<Real>()`,
		bool	useMaxError = `false`,
		Size	maxGuesses = `50`,
		bool	backwardFlat = `false`,
		Real	cutoffStrike = `0.0001`
	)