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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.
*/
/*! \file capvolstructures.hpp
\brief Cap/Floor volatility structures
\fullpath
ql/%capvolstructures.hpp
*/
// $Id: capvolstructures.hpp,v 1.2 2002/03/15 09:46:38 lballabio Exp $
#ifndef quantlib_cap_volatility_structures_h
#define quantlib_cap_volatility_structures_h
#include <ql/date.hpp>
#include <ql/daycounter.hpp>
#include <ql/Patterns/observable.hpp>
namespace QuantLib {
//! Cap/floor flat volatility structure
/*! This class is purely abstract and defines the interface of concrete
structures which will be derived from this one.
*/
class CapFlatVolatilityStructure : public Patterns::Observable {
public:
virtual ~CapFlatVolatilityStructure() {}
//! returns today's date
virtual Date todaysDate() const = 0;
//! returns the settlement date
virtual Date settlementDate() const = 0;
//! returns the day counter used for internal date/time conversions
virtual DayCounter dayCounter() const = 0;
//! returns the volatility for a given end date and strike rate
double volatility(const Date& end, Rate strike) const;
//! returns the volatility for a given cap/floor length and strike rate
double volatility(const Period& length, Rate strike) const;
//! returns the volatility for a given end time and strike rate
double volatility(Time t, Rate strike) const;
protected:
//! implements the actual volatility calculation in derived classes
virtual double volatilityImpl(Time length, Rate strike) const = 0;
};
//! Caplet/floorlet forward volatility structure
/*! This class is purely abstract and defines the interface of concrete
structures which will be derived from this one.
*/
class CapletForwardVolatilityStructure : public Patterns::Observable {
public:
virtual ~CapletForwardVolatilityStructure() {}
//! returns today's date
virtual Date todaysDate() const = 0;
//! returns the settlement date
virtual Date settlementDate() const = 0;
//! returns the day counter used for internal date/time conversions
virtual DayCounter dayCounter() const = 0;
//! returns the volatility for a given start date and strike rate
double volatility(const Date& start, Rate strike) const ;
//! returns the volatility for a given start time and strike rate
double volatility(Time t, Rate strike) const;
protected:
//! implements the actual volatility calculation in derived classes
virtual double volatilityImpl(Time length, Rate strike) const = 0;
};
// inline definitions
inline double CapFlatVolatilityStructure::volatility(const Date& end,
Rate strike) const {
Date start = settlementDate();
Time t = dayCounter().yearFraction(start,end,start,end);
return volatilityImpl(t,strike);
}
inline double CapFlatVolatilityStructure::volatility(const Period& length,
Rate strike) const {
Date start = settlementDate();
Date end = start.plus(length);
Time t = dayCounter().yearFraction(start,end,start,end);
return volatilityImpl(t,strike);
}
inline double CapFlatVolatilityStructure::volatility(Time t,
Rate strike) const {
return volatilityImpl(t,strike);
}
inline double CapletForwardVolatilityStructure::volatility(
const Date& start,
Rate strike) const {
Date settl = settlementDate();
Time t = dayCounter().yearFraction(settl,start,settl,start);
return volatilityImpl(t,strike);
}
inline double CapletForwardVolatilityStructure::volatility(
Time t,
Rate strike) const {
return volatilityImpl(t,strike);
}
}
#endif
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