QPR-12325 use parametric vol config to build swaption and cap floor sabr surfaces

pcaspers · jenkins · commit de78c0b17eac · 2024-04-12T14:26:16.000Z
diff --git a/OREData/ored/configuration/capfloorvolcurveconfig.cpp b/OREData/ored/configuration/capfloorvolcurveconfig.cpp
@@ -58,14 +58,16 @@ CapFloorVolatilityCurveConfig::CapFloorVolatilityCurveConfig(
     const BusinessDayConvention& businessDayConvention, const std::string& index,
     const QuantLib::Period& rateComputationPeriod, const Size onCapSettlementDays, const string& discountCurve,
     const string& interpolationMethod, const string& interpolateOn, const string& timeInterpolation,
-    const string& strikeInterpolation, const vector<string>& atmTenors, const BootstrapConfig& bootstrapConfig, const string& inputType)
+    const string& strikeInterpolation, const vector<string>& atmTenors, const BootstrapConfig& bootstrapConfig,
+    const string& inputType, const boost::optional<ParametricSmileConfiguration>& parametricSmileConfiguration)
     : CurveConfig(curveID, curveDescription), volatilityType_(volatilityType), extrapolate_(extrapolate),
       flatExtrapolation_(flatExtrapolation), includeAtm_(inlcudeAtm), tenors_(tenors), strikes_(strikes),
       dayCounter_(dayCounter), settleDays_(settleDays), calendar_(calendar),
       businessDayConvention_(businessDayConvention), index_(index), rateComputationPeriod_(rateComputationPeriod),
       onCapSettlementDays_(onCapSettlementDays), discountCurve_(discountCurve),
       interpolationMethod_(interpolationMethod), interpolateOn_(interpolateOn), timeInterpolation_(timeInterpolation),
-      strikeInterpolation_(strikeInterpolation), atmTenors_(atmTenors), bootstrapConfig_(bootstrapConfig), inputType_(inputType) {
+      strikeInterpolation_(strikeInterpolation), atmTenors_(atmTenors), bootstrapConfig_(bootstrapConfig),
+      inputType_(inputType), parametricSmileConfiguration_(parametricSmileConfiguration) {
 
     // Set extrapolation string. "Linear" just means extrapolation allowed and non-flat.
     extrapolation_ = !extrapolate_ ? "None" : (flatExtrapolation_ ? "Flat" : "Linear");
@@ -214,7 +216,13 @@ void CapFloorVolatilityCurveConfig::fromXML(XMLNode* node) {
             bootstrapConfig_.fromXML(n);
         }
 
-		// Optional Input Type
+        // Optional parametric smile configuration
+        if(XMLNode* n = XMLUtils::getChildNode(node, "ParametricSmileConfiguration")) {
+            parametricSmileConfiguration_ = ParametricSmileConfiguration();
+            parametricSmileConfiguration_->fromXML(n);
+        }
+
+        // Optional Input Type
         inputType_ = "TermVolatilities";
         if (XMLNode* n = XMLUtils::getChildNode(node, "InputType")) {
             inputType_ = XMLUtils::getNodeValue(n);
diff --git a/OREData/ored/configuration/capfloorvolcurveconfig.hpp b/OREData/ored/configuration/capfloorvolcurveconfig.hpp
@@ -25,6 +25,7 @@
 
 #include <ored/configuration/bootstrapconfig.hpp>
 #include <ored/configuration/curveconfig.hpp>
+#include <ored/configuration/parametricsmileconfiguration.hpp>
 #include <ored/configuration/reportconfig.hpp>
 #include <ql/termstructures/volatility/volatilitytype.hpp>
 #include <ql/time/calendar.hpp>
@@ -62,7 +63,8 @@ class CapFloorVolatilityCurveConfig : public CurveConfig {
         const std::string& interpolationMethod = "BicubicSpline", const std::string& interpolateOn = "TermVolatilities",
         const std::string& timeInterpolation = "LinearFlat", const std::string& strikeInterpolation = "LinearFlat",
         const std::vector<std::string>& atmTenors = {}, const BootstrapConfig& bootstrapConfig = BootstrapConfig(),
-        const string& inputType = "TermVolatilities");
+        const string& inputType = "TermVolatilities",
+        const boost::optional<ParametricSmileConfiguration>& parametricSmileConfiguration = boost::none);
 
     //! Detailled constructor for proxy config
     CapFloorVolatilityCurveConfig(const std::string& curveID, const std::string& curveDescription,
@@ -112,6 +114,10 @@ class CapFloorVolatilityCurveConfig : public CurveConfig {
     const QuantLib::Period& proxySourceRateComputationPeriod() const { return proxySourceRateComputationPeriod_; }
     const QuantLib::Period& proxyTargetRateComputationPeriod() const { return proxyTargetRateComputationPeriod_; }
     //
+    const boost::optional<ParametricSmileConfiguration> parametricSmileConfiguration() const {
+        return parametricSmileConfiguration_;
+    }
+    //
     const ReportConfig& reportConfig() const { return reportConfig_; }
     //@}
 
@@ -151,6 +157,8 @@ class CapFloorVolatilityCurveConfig : public CurveConfig {
     QuantLib::Period proxySourceRateComputationPeriod_;
     QuantLib::Period proxyTargetRateComputationPeriod_;
     //
+    boost::optional<ParametricSmileConfiguration> parametricSmileConfiguration_;
+    //
     ReportConfig reportConfig_;
 
     //! Populate required curve ids
diff --git a/OREData/ored/configuration/genericyieldvolcurveconfig.cpp b/OREData/ored/configuration/genericyieldvolcurveconfig.cpp
@@ -49,15 +49,17 @@ GenericYieldVolatilityCurveConfig::GenericYieldVolatilityCurveConfig(
     const vector<string>& optionTenors, const vector<string>& underlyingTenors, const DayCounter& dayCounter,
     const Calendar& calendar, const BusinessDayConvention& businessDayConvention, const string& shortSwapIndexBase,
     const string& swapIndexBase, const vector<string>& smileOptionTenors, const vector<string>& smileUnderlyingTenors,
-    const vector<string>& smileSpreads)
+    const vector<string>& smileSpreads,
+    const boost::optional<ParametricSmileConfiguration>& parametricSmileConfiguration)
     : CurveConfig(curveID, curveDescription), underlyingLabel_(underlyingLabel), rootNodeLabel_(rootNodeLabel),
       marketDatumInstrumentLabel_(marketDatumInstrumentLabel), qualifierLabel_(qualifierLabel), allowSmile_(true),
       requireSwapIndexBases_(false), qualifier_(qualifier), dimension_(dimension), volatilityType_(volatilityType),
       interpolation_(interpolation), extrapolation_(extrapolation), optionTenors_(optionTenors),
       underlyingTenors_(underlyingTenors), dayCounter_(dayCounter), calendar_(calendar),
       businessDayConvention_(businessDayConvention), shortSwapIndexBase_(shortSwapIndexBase),
       swapIndexBase_(swapIndexBase), smileOptionTenors_(smileOptionTenors),
-      smileUnderlyingTenors_(smileUnderlyingTenors), smileSpreads_(smileSpreads) {
+      smileUnderlyingTenors_(smileUnderlyingTenors), smileSpreads_(smileSpreads),
+      parametricSmileConfiguration_(parametricSmileConfiguration) {
 
     QL_REQUIRE(dimension == Dimension::ATM || dimension == Dimension::Smile, "Invalid dimension");
 
@@ -275,6 +277,11 @@ void GenericYieldVolatilityCurveConfig::fromXML(XMLNode* node) {
         // optional quote tag to include
         quoteTag_ = XMLUtils::getChildValue(node, "QuoteTag", false);
 
+        // Optional parametric smile configuration
+        if(XMLNode* n = XMLUtils::getChildNode(node, "ParametricSmileConfiguration")) {
+            parametricSmileConfiguration_ = ParametricSmileConfiguration();
+            parametricSmileConfiguration_->fromXML(n);
+        }
     }
 
     if (auto tmp = XMLUtils::getChildNode(node, "Report")) {
diff --git a/OREData/ored/configuration/genericyieldvolcurveconfig.hpp b/OREData/ored/configuration/genericyieldvolcurveconfig.hpp
@@ -24,6 +24,7 @@
 #pragma once
 
 #include <ored/configuration/curveconfig.hpp>
+#include <ored/configuration/parametricsmileconfiguration.hpp>
 #include <ored/configuration/reportconfig.hpp>
 #include <ql/time/calendar.hpp>
 #include <ql/time/daycounter.hpp>
@@ -76,19 +77,20 @@ class GenericYieldVolatilityCurveConfig : public CurveConfig {
         rootNodeLabel_(rootNodeLabel), marketDatumInstrumentLabel_(marketDatumInstrumentLabel),
         qualifierLabel_(qualifierLabel), allowSmile_(allowSmile), requireSwapIndexBases_(requireSwapIndexBases) {}
     //! Detailed constructor
-    GenericYieldVolatilityCurveConfig(const std::string& underlyingLabel, const std::string& rootNodeLabel,
-                                      const std::string& marketDatumInstrumentLabel, const std::string& qualifierLabel,
-                                      const string& curveID, const string& curveDescription, const string& qualifier,
-                                      const Dimension dimension, const VolatilityType volatilityType,
-                                      const VolatilityType outputVolatilityType, const Interpolation interpolation,
-                                      const Extrapolation extrapolation, const vector<string>& optionTenors,
-                                      const vector<string>& underlyingTenors, const DayCounter& dayCounter,
-                                      const Calendar& calendar, const BusinessDayConvention& businessDayConvention,
-                                      const string& shortSwapIndexBase = "", const string& swapIndexBase = "",
-                                      // Only required for smile
-                                      const vector<string>& smileOptionTenors = vector<string>(),
-                                      const vector<string>& smileUnderlyingTenors = vector<string>(),
-                                      const vector<string>& smileSpreads = vector<string>());
+    GenericYieldVolatilityCurveConfig(
+        const std::string& underlyingLabel, const std::string& rootNodeLabel,
+        const std::string& marketDatumInstrumentLabel, const std::string& qualifierLabel, const string& curveID,
+        const string& curveDescription, const string& qualifier, const Dimension dimension,
+        const VolatilityType volatilityType, const VolatilityType outputVolatilityType,
+        const Interpolation interpolation, const Extrapolation extrapolation, const vector<string>& optionTenors,
+        const vector<string>& underlyingTenors, const DayCounter& dayCounter, const Calendar& calendar,
+        const BusinessDayConvention& businessDayConvention, const string& shortSwapIndexBase = "",
+        const string& swapIndexBase = "",
+        // Only required for smile
+        const vector<string>& smileOptionTenors = vector<string>(),
+        const vector<string>& smileUnderlyingTenors = vector<string>(),
+        const vector<string>& smileSpreads = vector<string>(),
+        const boost::optional<ParametricSmileConfiguration>& parametricSmileConfiguration = boost::none);
     //! Detailed contructor for proxy config
     GenericYieldVolatilityCurveConfig(const std::string& underlyingLabel, const std::string& rootNodeLabel,
                                       const std::string& qualifierLabel, const string& curveID,
@@ -134,6 +136,10 @@ class GenericYieldVolatilityCurveConfig : public CurveConfig {
     const std::string& proxyTargetShortSwapIndexBase() const { return proxyTargetShortSwapIndexBase_; }
     const std::string& proxyTargetSwapIndexBase() const { return proxyTargetSwapIndexBase_; }
     //
+    const boost::optional<ParametricSmileConfiguration> parametricSmileConfiguration() const {
+        return parametricSmileConfiguration_;
+    }
+    //
     const ReportConfig& reportConfig() const { return reportConfig_; }
     //@}
 
@@ -187,6 +193,8 @@ class GenericYieldVolatilityCurveConfig : public CurveConfig {
     string proxyTargetShortSwapIndexBase_;
     string proxyTargetSwapIndexBase_;
 
+    boost::optional<ParametricSmileConfiguration> parametricSmileConfiguration_;
+
     ReportConfig reportConfig_;
 };
 
diff --git a/OREData/ored/configuration/parametricsmileconfiguration.cpp b/OREData/ored/configuration/parametricsmileconfiguration.cpp
@@ -43,7 +43,7 @@ void ParametricSmileConfiguration::Calibration::fromXML(XMLNode* node) {
     XMLUtils::checkNode(node, "Calibration");
     maxCalibrationAttempts = parseInteger(XMLUtils::getChildValue(node, "MaxCalibrationAttempts", true));
     exitEarlyErrorThreshold = parseReal(XMLUtils::getChildValue(node, "ExitEarlyErrorThreshold", true));
-    maxAcceptableError = parseBool(XMLUtils::getChildValue(node, "MaxAcceptableError", true));
+    maxAcceptableError = parseReal(XMLUtils::getChildValue(node, "MaxAcceptableError", true));
 }
 
 XMLNode* ParametricSmileConfiguration::Calibration::toXML(XMLDocument& doc) const {
@@ -94,7 +94,7 @@ const ParametricSmileConfiguration::Parameter& ParametricSmileConfiguration::par
     auto p =
         std::find_if(parameters_.begin(), parameters_.end(), [&name](const Parameter& p) { return p.name == name; });
     QL_REQUIRE(p != parameters_.end(), "ParametricSmileConfiguration: parameter '" << name << "' is not present.");
-    return p->second;
+    return *p;
 }
 
 const ParametricSmileConfiguration::Calibration& ParametricSmileConfiguration::calibration() const {
diff --git a/OREData/ored/configuration/parametricsmileconfiguration.hpp b/OREData/ored/configuration/parametricsmileconfiguration.hpp
@@ -40,20 +40,21 @@ class ParametricSmileConfiguration : public XMLSerializable {
         ore::data::XMLNode* toXML(ore::data::XMLDocument& doc) const override;
 
         std::string name;
-        double initialValue;
-        bool isFixed;
+        double initialValue = 0.0;
+        bool isFixed = false;
     };
 
     class Calibration : public XMLSerializable {
     public:
         void fromXML(ore::data::XMLNode* node) override;
         ore::data::XMLNode* toXML(ore::data::XMLDocument& doc) const override;
 
-        std::size_t maxCalibrationAttempts;
-        double exitEarlyErrorThreshold;
-        double maxAcceptableError;
+        std::size_t maxCalibrationAttempts = 10;
+        double exitEarlyErrorThreshold = 0.0050;
+        double maxAcceptableError = 0.05;
     };
 
+    ParametricSmileConfiguration() {}
     ParametricSmileConfiguration(std::vector<Parameter> parameters, Calibration calibration);
 
     //! \name XMLSerializable interface
diff --git a/OREData/ored/marketdata/capfloorvolcurve.cpp b/OREData/ored/marketdata/capfloorvolcurve.cpp
diff --git a/OREData/ored/marketdata/genericyieldvolcurve.cpp b/OREData/ored/marketdata/genericyieldvolcurve.cpp
