experimental/inflation/yoycapfloortermpricesurface.cpp

/* -*- 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.
*/

#include <ql/experimental/inflation/yoycapfloortermpricesurface.hpp>

namespace QuantLib {

    YoYCapFloorTermPriceSurface::
    YoYCapFloorTermPriceSurface(Natural fixingDays,
                                const Period &lag,
                                const ext::shared_ptr<YoYInflationIndex>& yii,
                                Rate baseRate,
                                const Handle<YieldTermStructure> &nominal,
                                const DayCounter &dc,
                                const Calendar &cal,
                                const BusinessDayConvention &bdc,
                                const std::vector<Rate> &cStrikes,
                                const std::vector<Rate> &fStrikes,
                                const std::vector<Period> &cfMaturities,
                                const Matrix &cPrice,
                                const Matrix &fPrice)
    : InflationTermStructure(0, cal, baseRate, lag, yii->frequency(), yii->interpolated(), dc),
      fixingDays_(fixingDays), bdc_(bdc), yoyIndex_(yii), nominalTS_(nominal),
      cStrikes_(cStrikes), fStrikes_(fStrikes),
      cfMaturities_(cfMaturities), cPrice_(cPrice), fPrice_(fPrice) {

        // data consistency checking, enough data?
        QL_REQUIRE(fStrikes_.size() > 1, "not enough floor strikes");
        QL_REQUIRE(cStrikes_.size() > 1, "not enough cap strikes");
        QL_REQUIRE(cfMaturities_.size() > 1, "not enough maturities");
        QL_REQUIRE(fStrikes_.size() == fPrice.rows(),
                   "floor strikes vs floor price rows not equal");
        QL_REQUIRE(cStrikes_.size() == cPrice.rows(),
                   "cap strikes vs cap price rows not equal");
        QL_REQUIRE(cfMaturities_.size() == fPrice.columns(),
                   "maturities vs floor price columns not equal");
        QL_REQUIRE(cfMaturities_.size() == cPrice.columns(),
                   "maturities vs cap price columns not equal");

        // data has correct properties (positive, monotonic)?
        for(Size j = 0; j <cfMaturities_.size(); j++) {
            QL_REQUIRE( cfMaturities[j] > Period(0,Days), "non-positive maturities");
            if(j>0) {
                QL_REQUIRE( cfMaturities[j] > cfMaturities[j-1],
                            "non-increasing maturities");
            }
            for(Size i = 0; i <fPrice_.rows(); i++) {
                QL_REQUIRE( fPrice_[i][j] > 0.0,
                            "non-positive floor price: " << fPrice_[i][j] );
                if(i>0) {
                    QL_REQUIRE( fPrice_[i][j] >= fPrice_[i-1][j],
                                "non-increasing floor prices");
                }
            }
            for(Size i = 0; i <cPrice_.rows(); i++) {
                QL_REQUIRE( cPrice_[i][j] > 0.0,
                            "non-positive cap price: " << cPrice_[i][j] );
                if(i>0) {
                    QL_REQUIRE( cPrice_[i][j] <= cPrice_[i-1][j],
                                "non-decreasing cap prices");
                }
            }
        }


        // Get the set of strikes, noting that repeats, overlaps are
        // expected between caps and floors but that no overlap in the
        // output is allowed so no repeats or overlaps are used
        cfStrikes_ = std::vector<Rate>();
        for(Size i = 0; i <fStrikes_.size(); i++)
            cfStrikes_.push_back( fStrikes[i] );
        Real eps = 0.0000001;
        Rate maxFstrike = fStrikes_.back();
        for(Size i = 0; i < cStrikes_.size(); i++) {
            Rate k = cStrikes[i];
            if (k > maxFstrike + eps) cfStrikes_.push_back(k);
        }

        // final consistency checking
        QL_REQUIRE(cfStrikes_.size() > 2, "overall not enough strikes");
        for (Size i = 1; i < cfStrikes_.size(); i++)
            QL_REQUIRE( cfStrikes_[i] > cfStrikes_[i-1],
                        "cfStrikes not increasing");
    }

    Date YoYCapFloorTermPriceSurface::yoyOptionDateFromTenor(const Period& p) const
    {
        return Date(referenceDate()+p);
    }

    Real YoYCapFloorTermPriceSurface::price(const Period &d, const Rate k) const {
        return price(yoyOptionDateFromTenor(d), k);
    }

    Real YoYCapFloorTermPriceSurface::capPrice(const Period &d, const Rate k) const {
        return capPrice(yoyOptionDateFromTenor(d), k);
    }

    Real YoYCapFloorTermPriceSurface::floorPrice(const Period &d, const Rate k) const {
        return floorPrice(yoyOptionDateFromTenor(d), k);
    }

    Rate YoYCapFloorTermPriceSurface::atmYoYSwapRate(const Period &d,
                        bool extrapolate) const {
        return atmYoYSwapRate(yoyOptionDateFromTenor(d), extrapolate);
    }

    Rate YoYCapFloorTermPriceSurface::atmYoYRate(const Period &d,
                                                 const Period& obsLag,
                    bool extrapolate) const {
        return atmYoYRate(yoyOptionDateFromTenor(d), obsLag, extrapolate);
    }


}