libquantlib0-dev 1.1-2build1 / usr / include / ql / experimental / inflation / piecewiseyoyoptionletvolatility.hpp

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

/*
 Copyright (C) 2009 Chris Kenyon

 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
 <quantlib-dev@lists.sf.net>. 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 piecewiseyoyoptionletvolatility.hpp
    \brief piecewise yoy inflation volatility term structure
*/

#ifndef quantlib_piecewise_yoy_optionlet_volatility_hpp
#define quantlib_piecewise_yoy_optionlet_volatility_hpp

#include <ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp>
#include <ql/termstructures/iterativebootstrap.hpp>
#include <ql/patterns/lazyobject.hpp>

namespace QuantLib {

    //! traits for inflation-volatility bootstrap
    class YoYInflationVolatilityTraits {
      public:
        typedef BootstrapHelper<YoYOptionletVolatilitySurface> helper;

        static Size maxIterations() {return 25;}
        static Date initialDate(const YoYOptionletVolatilitySurface *s) {
            return s->baseDate();
        }
        static bool dummyInitialValue() {return false;}
        static Volatility initialValue(const YoYOptionletVolatilitySurface *s) {
            return s->baseLevel();  // REALLLYYYY important because
                                    // generally don't have a clue
                                    // what this should be - embodies
                                    // assumptions on early options
                                    // that are _not_ quoted
        }
        static Volatility initialGuess() {return 0.005;}
        static Volatility guess(const YoYOptionletVolatilitySurface*,
                                const Date &) {
            return 0.002;
        }
        static Volatility minValueAfter(Size n,
                                        const std::vector<Volatility> &v) {
            return std::max(0.0, v[n-1] - 0.02); // vol cannot be negative
        }
        static Volatility maxValueAfter(Size n,
                                        const std::vector<Volatility> &v) {
            return v[n-1] + 0.02;
        }
        static void updateGuess(std::vector<Volatility> &vols,
                                Volatility level,
                                Size i) {
            vols[i] = level;
        }
    };


    //! Piecewise year-on-year inflation volatility term structure
    /*! We use a flat smile for bootstrapping at constant K.  Happily
        most of the work has already been done in the bootstrapping
        classes.  We only need to add special attention for the start
        where there is usually no data, only assumptions.
    */
    template <class Interpolator,
              template <class> class Bootstrap = IterativeBootstrap,
              class Traits = YoYInflationVolatilityTraits>
    class PiecewiseYoYOptionletVolatilityCurve
        : public InterpolatedYoYOptionletVolatilityCurve<Interpolator>,
          public LazyObject {
      private:
        typedef InterpolatedYoYOptionletVolatilityCurve<Interpolator>
                                                                   base_curve;
        typedef PiecewiseYoYOptionletVolatilityCurve<Interpolator,
                                                     Bootstrap,
                                                     Traits> this_curve;
      public:
        typedef Traits traits_type;
        typedef Interpolator interpolator_type;

        PiecewiseYoYOptionletVolatilityCurve(
              Natural settlementDays,
              const Calendar &cal,
              BusinessDayConvention bdc,
              const DayCounter& dc,
              const Period &lag,
              Frequency frequency,
              bool indexIsInterpolated,
              Rate minStrike,
              Rate maxStrike,
              Volatility baseYoYVolatility,
              const std::vector<boost::shared_ptr<typename Traits::helper> >&
                                                                  instruments,
              Real accuracy = 1.0e-12,
              const Interpolator &interpolator = Interpolator())
        : base_curve(settlementDays, cal, bdc, dc, lag,
                     frequency, indexIsInterpolated,
                     minStrike, maxStrike,
                     baseYoYVolatility, interpolator),
          instruments_(instruments), accuracy_(accuracy) {
            bootstrap_.setup(this);
        }

        //! \name Inflation interface
        //@{
        Date baseDate() const;
        Date maxDate() const;
        //@
        //! \name Inspectors
        //@{
        const std::vector<Time>& times() const;
        const std::vector<Date>& dates() const;
        const std::vector<Real>& data() const;
        std::vector<std::pair<Date, Real> > nodes() const;
        //@}
        //! \name Observer interface
        //@{
        void update();
        //@}
      private:
        // methods
        void performCalculations() const;
        // data members
        std::vector<boost::shared_ptr<typename Traits::helper> > instruments_;
        Real accuracy_;

        friend class Bootstrap<this_curve>;
        friend class BootstrapError<this_curve>;
        Bootstrap<this_curve> bootstrap_;
    };


    // inline and template definitions

    template <class I, template <class> class B, class T>
    inline Date PiecewiseYoYOptionletVolatilityCurve<I,B,T>::baseDate() const {
        this->calculate();
        return base_curve::baseDate();
    }

    template <class I, template <class> class B, class T>
    inline Date PiecewiseYoYOptionletVolatilityCurve<I,B,T>::maxDate() const {
        this->calculate();
        return base_curve::maxDate();
    }

    template <class I, template <class> class B, class T>
    const std::vector<Time>&
    PiecewiseYoYOptionletVolatilityCurve<I,B,T>::times() const {
        calculate();
        return base_curve::times();
    }

    template <class I, template <class> class B, class T>
    const std::vector<Date>&
    PiecewiseYoYOptionletVolatilityCurve<I,B,T>::dates() const {
        calculate();
        return base_curve::dates();
    }

    template <class I, template <class> class B, class T>
    const std::vector<Real>&
    PiecewiseYoYOptionletVolatilityCurve<I,B,T>::data() const {
        calculate();
        return base_curve::data();
    }

    template <class I, template <class> class B, class T>
    std::vector<std::pair<Date, Real> >
    PiecewiseYoYOptionletVolatilityCurve<I,B,T>::nodes() const {
        calculate();
        return base_curve::nodes();
    }

    template <class I, template <class> class B, class T>
    void
    PiecewiseYoYOptionletVolatilityCurve<I,B,T>::performCalculations() const {
        bootstrap_.calculate();
    }

    template <class I, template <class> class B, class T>
    void PiecewiseYoYOptionletVolatilityCurve<I,B,T>::update() {
        base_curve::update();
        LazyObject::update();
    }

}

#endif