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/*
Copyright (C) 2001, 2002 Sadruddin Rejeb
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.
*/
/*! \file blackmodel.hpp
\brief Abstract class for Black-type models (market models)
\fullpath
ql/InterestRateModelling/%blackmodel.hpp
*/
// $Id: blackmodel.hpp,v 1.3 2002/03/19 17:10:58 lballabio Exp $
#ifndef quantlib_interest_rate_modelling_black_model_h
#define quantlib_interest_rate_modelling_black_model_h
#include <ql/marketelement.hpp>
#include <ql/termstructure.hpp>
#include <ql/Math/normaldistribution.hpp>
#include <ql/Patterns/observable.hpp>
namespace QuantLib {
namespace InterestRateModelling {
//! Abstract short-rate model class
class BlackModel : public Patterns::Observable,
public Patterns::Observer {
public:
BlackModel(
const RelinkableHandle<MarketElement>& volatility,
const RelinkableHandle<TermStructure>& termStructure)
: volatility_(volatility), termStructure_(termStructure) {
registerWith(volatility_);
registerWith(termStructure_);
}
double volatility() const {
return volatility_->value();
}
const RelinkableHandle<TermStructure>& termStructure() const {
return termStructure_;
}
static double formula(double k, double f, double v, double w) {
if (v == 0.0)
return QL_MAX(f*w - k*w, 0.0);
double d1 = QL_LOG(f/k)/v + 0.5*v;
double d2 = d1 - v;
Math::CumulativeNormalDistribution phi;
return f*w*phi(w*d1) - k*w*phi(w*d2);
}
void update() { notifyObservers(); }
private:
RelinkableHandle<MarketElement> volatility_;
RelinkableHandle<TermStructure> termStructure_;
};
}
}
#endif
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