QuantLib: SwaptionVolatilityCube Class Reference

swaption-volatility cube More...

#include <swaptionvolcube.hpp>

Inheritance diagram for SwaptionVolatilityCube:

Collaboration diagram for SwaptionVolatilityCube:

Public Member Functions
	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)

TermStructure interface
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...

VolatilityTermStructure interface
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...

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

Other inspectors
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

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...

LazyObject interface
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_

void	performCalculations () const override

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

void	registerWithVolatilitySpread ()

virtual Size	requiredNumberOfStrikes () const

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

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

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 ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const =0

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 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

swaption-volatility cube

Warning:: this class is not finalized and its interface might change in subsequent releases.

Definition at line 40 of file swaptionvolcube.hpp.

Constructor & Destructor Documentation

◆ 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
	)

Definition at line 28 of file swaptionvolcube.cpp.

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Member Function Documentation

◆ dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 52 of file swaptionvolcube.hpp.

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 53 of file swaptionvolcube.hpp.

◆ maxTime()

Time maxTime ( ) const

overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

Definition at line 54 of file swaptionvolcube.hpp.

◆ referenceDate()

const Date & referenceDate ( ) const

overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

Definition at line 55 of file swaptionvolcube.hpp.

◆ calendar()

Calendar calendar ( ) const

overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 56 of file swaptionvolcube.hpp.

◆ settlementDays()

Natural settlementDays ( ) const

overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

Definition at line 57 of file swaptionvolcube.hpp.

◆ minStrike()

Rate minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 60 of file swaptionvolcube.hpp.

◆ maxStrike()

Rate maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 61 of file swaptionvolcube.hpp.

◆ maxSwapTenor()

const Period & maxSwapTenor ( ) const

overridevirtual

the largest length for which the term structure can return vols

Implements SwaptionVolatilityStructure.

Definition at line 65 of file swaptionvolcube.hpp.

◆ atmStrike() [1/2]

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

Definition at line 89 of file swaptionvolcube.cpp.

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◆ atmStrike() [2/2]

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

Definition at line 71 of file swaptionvolcube.hpp.

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◆ atmVol()

Handle< SwaptionVolatilityStructure > atmVol ( ) const

Definition at line 76 of file swaptionvolcube.hpp.

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◆ strikeSpreads()

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

Definition at line 77 of file swaptionvolcube.hpp.

◆ volSpreads()

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

Definition at line 78 of file swaptionvolcube.hpp.

◆ swapIndexBase()

ext::shared_ptr< SwapIndex > swapIndexBase ( ) const

Definition at line 79 of file swaptionvolcube.hpp.

◆ shortSwapIndexBase()

ext::shared_ptr< SwapIndex > shortSwapIndexBase ( ) const

Definition at line 80 of file swaptionvolcube.hpp.

◆ vegaWeightedSmileFit()

bool vegaWeightedSmileFit ( ) const

Definition at line 81 of file swaptionvolcube.hpp.

◆ performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 85 of file swaptionvolcube.hpp.

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◆ volatilityType()

VolatilityType volatilityType ( ) const

overridevirtual

volatility type

Reimplemented from SwaptionVolatilityStructure.

Definition at line 114 of file swaptionvolcube.hpp.

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◆ registerWithVolatilitySpread()

void registerWithVolatilitySpread ( )

protected

Definition at line 81 of file swaptionvolcube.cpp.

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◆ requiredNumberOfStrikes()

virtual Size requiredNumberOfStrikes ( ) const

protectedvirtual

Reimplemented in XabrSwaptionVolatilityCube< Model >.

Definition at line 97 of file swaptionvolcube.hpp.

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◆ volatilityImpl() [1/2]

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

overrideprotectedvirtual

Implements SwaptionVolatilityStructure.

Definition at line 118 of file swaptionvolcube.hpp.

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◆ volatilityImpl() [2/2]

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

overrideprotectedvirtual

Reimplemented from SwaptionVolatilityStructure.

Definition at line 125 of file swaptionvolcube.hpp.

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◆ shiftImpl()

Real shiftImpl	(	Time	optionTime,
		Time	swapLength
	)		const

overrideprotectedvirtual

Reimplemented from SwaptionVolatilityStructure.

Definition at line 132 of file swaptionvolcube.hpp.

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Member Data Documentation

◆ atmVol_

Handle<SwaptionVolatilityStructure> atmVol_

protected

Definition at line 102 of file swaptionvolcube.hpp.

◆ nStrikes_

Size nStrikes_

protected

Definition at line 103 of file swaptionvolcube.hpp.

◆ strikeSpreads_

std::vector<Spread> strikeSpreads_

protected

Definition at line 104 of file swaptionvolcube.hpp.

◆ localStrikes_

std::vector<Rate> localStrikes_

mutableprotected

Definition at line 105 of file swaptionvolcube.hpp.

◆ localSmile_

std::vector<Volatility> localSmile_

mutableprotected

Definition at line 106 of file swaptionvolcube.hpp.

◆ volSpreads_

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

protected

Definition at line 107 of file swaptionvolcube.hpp.

◆ swapIndexBase_

ext::shared_ptr<SwapIndex> swapIndexBase_

protected

Definition at line 108 of file swaptionvolcube.hpp.

◆ shortSwapIndexBase_

ext::shared_ptr<SwapIndex> shortSwapIndexBase_

protected

Definition at line 108 of file swaptionvolcube.hpp.

◆ vegaWeightedSmileFit_

bool vegaWeightedSmileFit_

protected

Definition at line 109 of file swaptionvolcube.hpp.

Public Member Functions

LazyObject interface

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ SwaptionVolatilityCube()

Member Function Documentation

◆ dayCounter()

◆ maxDate()

◆ maxTime()

◆ referenceDate()

◆ calendar()

◆ settlementDays()

◆ minStrike()

◆ maxStrike()

◆ maxSwapTenor()

◆ atmStrike() [1/2]

◆ atmStrike() [2/2]

◆ atmVol()

◆ strikeSpreads()

◆ volSpreads()

◆ swapIndexBase()

◆ shortSwapIndexBase()

◆ vegaWeightedSmileFit()

◆ performCalculations()

◆ volatilityType()

◆ registerWithVolatilitySpread()

◆ requiredNumberOfStrikes()

◆ volatilityImpl() [1/2]

◆ volatilityImpl() [2/2]

◆ shiftImpl()

Member Data Documentation

◆ atmVol_

◆ nStrikes_

◆ strikeSpreads_

◆ localStrikes_

◆ localSmile_

◆ volSpreads_

◆ swapIndexBase_

◆ shortSwapIndexBase_

◆ vegaWeightedSmileFit_