1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2006, 2007 Ferdinando Ametrano
5  Copyright (C) 2006 Chiara Fornarola
6  Copyright (C) 2006, 2007 StatPro Italia srl
7  Copyright (C) 2006 Katiuscia Manzoni
8 
9  This file is part of QuantLib, a free-software/open-source library
10  for financial quantitative analysts and developers - http://quantlib.org/
11 
12  QuantLib is free software: you can redistribute it and/or modify it
13  under the terms of the QuantLib license.  You should have received a
14  copy of the license along with this program; if not, please email
15  <quantlib-dev@lists.sf.net>. The license is also available online at
16  <http://quantlib.org/license.shtml>.
17 
18  This program is distributed in the hope that it will be useful, but WITHOUT
19  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
20  FOR A PARTICULAR PURPOSE.  See the license for more details.
21 */
22 
23 
24 #ifndef quantlib_exp_corr_flat_vol_hpp
25 #define quantlib_exp_corr_flat_vol_hpp
26 
27 #include <ql/models/marketmodels/marketmodel.hpp>
28 #include <ql/models/marketmodels/evolutiondescription.hpp>
29 #include <ql/math/matrix.hpp>
30 #include <ql/math/interpolation.hpp>
31 #include <ql/termstructures/yieldtermstructure.hpp>
32 #include <ql/handle.hpp>
33 #include <vector>
34 
35 namespace QuantLib {
36 
37     class PiecewiseConstantCorrelation;
38 
39     class FlatVol : public MarketModel {
40       public:
41         FlatVol(
42             const std::vector<Volatility>& volatilities,
43             const ext::shared_ptr<PiecewiseConstantCorrelation>& corr,
44             const EvolutionDescription& evolution,
45             Size numberOfFactors,
46             const std::vector<Rate>& initialRates,
47             const std::vector<Spread>& displacements);
48         //! \name MarketModel interface
49         //@{
50         const std::vector<Rate>& initialRates() const;
51         const std::vector<Spread>& displacements() const;
52         const EvolutionDescription& evolution() const;
53         Size numberOfRates() const;
54         Size numberOfFactors() const;
55         Size numberOfSteps() const;
56         const Matrix& pseudoRoot(Size i) const;
57         //@}
58       private:
59         Size numberOfFactors_, numberOfRates_, numberOfSteps_;
60         std::vector<Rate> initialRates_;
61         std::vector<Spread> displacements_;
62         EvolutionDescription evolution_;
63         std::vector<Matrix> pseudoRoots_;
64     };
65 
66     class FlatVolFactory : public MarketModelFactory,
67                                   public Observer {
68       public:
69         FlatVolFactory(Real longTermCorrelation,
70                               Real beta,
71                               // this is just to make it work---it
72                               // should be replaced with something
73                               // else (such as some kind of volatility
74                               // structure)
75                               const std::vector<Time>& times,
76                               const std::vector<Volatility>& vols,
77                               // this is OK
78                               const Handle<YieldTermStructure>& yieldCurve,
79                               // this might have a structure
80                               Spread displacement);
81         ext::shared_ptr<MarketModel> create(const EvolutionDescription&,
82                                               Size numberOfFactors) const;
83         void update();
84       private:
85         Real longTermCorrelation_, beta_;
86         // <to be changed>
87         std::vector<Time> times_;
88         std::vector<Volatility> vols_;
89         Interpolation volatility_;
90         // </to be changed>
91         Handle<YieldTermStructure> yieldCurve_;
92         Spread displacement_;
93     };
94 
95 
96     // inline definitions
97 
initialRates() const98     inline const std::vector<Rate>& FlatVol::initialRates() const {
99         return initialRates_;
100     }
101 
displacements() const102     inline const std::vector<Spread>& FlatVol::displacements() const {
103         return displacements_;
104     }
105 
evolution() const106     inline const EvolutionDescription& FlatVol::evolution() const {
107         return evolution_;
108     }
109 
numberOfRates() const110     inline Size FlatVol::numberOfRates() const {
111         return initialRates_.size();
112     }
113 
numberOfFactors() const114     inline Size FlatVol::numberOfFactors() const {
115         return numberOfFactors_;
116     }
117 
numberOfSteps() const118     inline Size FlatVol::numberOfSteps() const {
119         return numberOfSteps_;
120     }
121 
pseudoRoot(Size i) const122     inline const Matrix& FlatVol::pseudoRoot(Size i) const {
123         QL_REQUIRE(i<numberOfSteps_,
124                    "the index " << i << " is invalid: it must be less than "
125                    "number of steps (" << numberOfSteps_ << ")");
126         return pseudoRoots_[i];
127     }
128 }
129 
130 #endif
131