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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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.
*/
// $Id: Volatility.i,v 1.4 2002/03/14 17:40:08 lballabio Exp $
#ifndef quantlib_volatility_i
#define quantlib_volatility_i
%include Date.i
%include DayCounters.i
%include Vectors.i
%include Matrix.i
%include Observer.i
// swaption volatilities
%{
using QuantLib::SwaptionVolatilityStructure;
using QuantLib::Handle;
using QuantLib::RelinkableHandle;
typedef Handle<SwaptionVolatilityStructure>
SwaptionVolatilityStructureHandle;
typedef RelinkableHandle<SwaptionVolatilityStructure>
SwaptionVolatilityStructureRelinkableHandle;
%}
// export Handle to base class
%name(SwaptionVolatilityStructure)
class SwaptionVolatilityStructureHandle : public ObservableHandle {
private:
// abstract class - no constructor exported
SwaptionVolatilityStructureHandle();
public:
~SwaptionVolatilityStructureHandle();
};
// replicate the SwaptionVolatilityStructure interface
%addmethods SwaptionVolatilityStructureHandle {
Date todaysDate() {
return (*self)->todaysDate();
}
double _volatilityVsDate(Date exercise, Period length, Rate strike) {
return (*self)->volatility(exercise,length,strike);
}
double _volatilityVsTime(Time exercise, double length, Rate strike) {
return (*self)->volatility(exercise,length,strike);
}
bool __nonzero__() {
return !self->isNull();
}
}
AllowNoneAsInput(SwaptionVolatilityStructureHandle,
SwaptionVolatilityStructure);
// export RelinkableHandle to base class
%name(SwaptionVolatilityStructureHandle)
class SwaptionVolatilityStructureRelinkableHandle
: public ObservableHandle {
public:
SwaptionVolatilityStructureRelinkableHandle(
SwaptionVolatilityStructureHandle);
~SwaptionVolatilityStructureRelinkableHandle();
void linkTo(SwaptionVolatilityStructureHandle);
};
%addmethods SwaptionVolatilityStructureRelinkableHandle {
bool __nonzero__() {
return !self->isNull();
}
}
// cap/floor volatilities
%{
using QuantLib::CapFlatVolatilityStructure;
using QuantLib::Handle;
using QuantLib::RelinkableHandle;
typedef Handle<CapFlatVolatilityStructure>
CapFlatVolatilityStructureHandle;
typedef RelinkableHandle<CapFlatVolatilityStructure>
CapFlatVolatilityStructureRelinkableHandle;
%}
// export Handle to base class
%name(CapFlatVolatilityStructure)
class CapFlatVolatilityStructureHandle : public ObservableHandle {
private:
// abstract class - no constructor exported
CapFlatVolatilityStructureHandle();
public:
~CapFlatVolatilityStructureHandle();
};
// replicate the SwaptionVolatilityStructure interface
%addmethods CapFlatVolatilityStructureHandle {
Date todaysDate() {
return (*self)->todaysDate();
}
double _volatilityVsDate(Date end, Rate strike) {
return (*self)->volatility(end,strike);
}
double _volatilityVsTime(Time end, Rate strike) {
return (*self)->volatility(end,strike);
}
bool __nonzero__() {
return !self->isNull();
}
}
AllowNoneAsInput(CapFlatVolatilityStructureHandle,
CapFlatVolatilityStructure);
// export RelinkableHandle to base class
%name(CapFlatVolatilityStructureHandle)
class CapFlatVolatilityStructureRelinkableHandle
: public ObservableHandle {
public:
CapFlatVolatilityStructureRelinkableHandle(
CapFlatVolatilityStructureHandle);
~CapFlatVolatilityStructureRelinkableHandle();
void linkTo(CapFlatVolatilityStructureHandle);
};
%addmethods CapFlatVolatilityStructureRelinkableHandle {
bool __nonzero__() {
return !self->isNull();
}
}
// actual structures
%{
using QuantLib::Volatilities::SwaptionVolatilityMatrix;
typedef Handle<SwaptionVolatilityMatrix> SwaptionVolatilityMatrixHandle;
%}
// Fake inheritance between Handles
%name(SwaptionVolatilityMatrix)
class SwaptionVolatilityMatrixHandle
: public SwaptionVolatilityStructureHandle {
public:
// constructor redefined below
~SwaptionVolatilityMatrixHandle();
};
%addmethods SwaptionVolatilityMatrixHandle {
SwaptionVolatilityMatrixHandle(Date today, DateVector dates,
PeriodVector lengths, Matrix vols, DayCounter dayCounter) {
return new SwaptionVolatilityMatrixHandle(
new SwaptionVolatilityMatrix(today,dates,lengths,
vols,dayCounter));
}
}
%{
using QuantLib::Volatilities::CapFlatVolatilityVector;
typedef Handle<CapFlatVolatilityVector> CapFlatVolatilityVectorHandle;
%}
// Fake inheritance between Handles
%name(CapFlatVolatilityVector)
class CapFlatVolatilityVectorHandle
: public CapFlatVolatilityStructureHandle {
public:
// constructor redefined below
~CapFlatVolatilityVectorHandle();
};
%addmethods CapFlatVolatilityVectorHandle {
CapFlatVolatilityVectorHandle(Date today, Calendar calendar,
int settlementDays, PeriodVector lengths, DoubleVector vols,
DayCounter dayCounter) {
return new CapFlatVolatilityVectorHandle(
new CapFlatVolatilityVector(today,calendar,settlementDays,
lengths,vols,dayCounter));
}
}
#endif
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