Re: shortSwapIndexBase in SwaptionVolCube2 (AUD as example)

Posted by Yan Kuang on
URL: http://quantlib.414.s1.nabble.com/reference-of-boost-shared-ptr-instead-of-Handle-tp7623p7638.html



Yan Kuang <[hidden email]> wrote on 14/09/2009 09:35:14 AM:

>
>
> Luigi Ballabio <[hidden email]> wrote on 12/09/2009 12:14:31 AM:
>
> > On Fri, 2009-09-11 at 14:28 +1000, Yan Kuang wrote:
> > > As I pointed in the last email, Aussie market has similar situation
> > > (under 3 year swaps are different from 4 years and plus). But that has
> > > been handle in the swap index.
> > >
> > > [...]
> > >
> > > There are may be a clever way of doing this, e.g., passing in a
> > > generic swap index.
> > > The generic swap index should be able to tell you the market
> > > conventions for each tenor.
> >
> > We need some kind of factory.  We could use a factory class, but it's
> > probably overkill.  We could just add a factory method to SwapRate that
> > returns a correctly-instantiated rate of the same family but with the
> > given tenor.  Yan, do you want to give it a try?
> >
>
> Luigi,
>
> Thanks for the encouragement. I haven't done serious C++ programmingfor quite
> a few years. I will certainly give it a go. However, I need to
> finish a validation
> project in two weeks times with quantlib, I then will take a two
> weeks leaves.
>
> I plan to use quantlib quite extensively to assist some exotic ir
> models validation
> in the next six months. Certainly I hope to contribute.
>
> Cheers,
> Yan
>
>
Hi Luigi,

I changed my mind, and had a go this afternoon. Basically I added a methods in SwapIndex:

        inline boost::shared_ptr<SwapIndex> SwapIndex::Create(const Period& new_tenor) {

                return boost::shared_ptr<SwapIndex> (new SwapIndex(familyName_,
                         new_tenor,
                         fixingDays_,
                         currency_,
                         fixingCalendar_,
                         fixedLegTenor_,
                         fixedLegConvention_,
                         dayCounter_,
                         iborIndex_));

        }

The object created is SwapIndex, not a subtype say GbpLiborSwapIsdaFix. However I think
this is ok for two reasons: 1. One can always get the run time 'type' via familyName.
2. Logically subtype like GbpLiborSwapIsdaFix is almost like an instance (object) of SwapIndex.

I changed atmStrike method to:
 Rate SwaptionVolatilityCube::atmStrike(const Date& optionD,
                                           const Period& swapTenor) const {

                return (swapIndexBase_->Create(swapTenor))->fixing(optionD);

    }

Let me know what you think.

Cheers,
Yan


Please consider our environment before printing this email.

WARNING - This email and any attachments may be confidential. If received in error, please delete and inform us by return email. Because emails and attachments may be interfered with, may contain computer viruses or other defects and may not be successfully replicated on other systems, you must be cautious. Westpac cannot guarantee that what you receive is what we sent. If you have any doubts about the authenticity of an email by Westpac, please contact us immediately.

It is also important to check for viruses and defects before opening or using attachments. Westpac's liability is limited to resupplying any affected attachments.

This email and its attachments are not intended to constitute any form of financial advice or recommendation of, or an offer to buy or offer to sell, any security or other financial product. We recommend that you seek your own independent legal or financial advice before proceeding with any investment decision.

Westpac Institutional Bank is a division of Westpac Banking Corporation, a company registered in New South Wales in Australia under the Corporations Act 2001 (Cth). Westpac is authorised and regulated in the United Kingdom by the Financial Services Authority and is registered at Cardiff in the United Kingdom as Branch No. BR 106. Westpac operates in the United States of America as a federally chartered branch, regulated by the Office of the Comptroller of the Currency.

Westpac Banking Corporation ABN 33 007 457 141.

------------------------------------------------------------------------------
Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day
trial. Simplify your report design, integration and deployment - and focus on
what you do best, core application coding. Discover what's new with
Crystal Reports now.  http://p.sf.net/sfu/bobj-july
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users