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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 swaptionvolstructure.hpp
\brief Swaption volatility structure
\fullpath
ql/%swaptionvolstructure.hpp
*/
// $Id: swaptionvolstructure.hpp,v 1.2 2002/03/15 09:46:38 lballabio Exp $
#ifndef quantlib_swaption_volatility_structure_h
#define quantlib_swaption_volatility_structure_h
#include <ql/date.hpp>
#include <ql/daycounter.hpp>
#include <ql/Patterns/observable.hpp>
namespace QuantLib {
//! Swaption volatility structure
/*! This class is purely abstract and defines the interface of concrete
swaption volatility structures which will be derived from this one.
*/
class SwaptionVolatilityStructure : public Patterns::Observable {
public:
virtual ~SwaptionVolatilityStructure() {}
//! returns today's date
virtual Date todaysDate() const = 0;
//! returns the day counter used for internal date/time conversions
virtual DayCounter dayCounter() const = 0;
//! returns the volatility for a given starting date and length
double volatility(const Date& start, const Period& length,
Rate strike) const;
//! returns the volatility for a given starting time and length
double volatility(Time start, Time length, Rate strike) const;
protected:
//! implements the actual volatility calculation in derived classes
virtual double volatilityImpl(Time start, Time length,
Rate strike) const = 0;
};
// inline definitions
inline double SwaptionVolatilityStructure::volatility(const Date& start,
const Period& length,
Rate strike) const {
Time startTime = dayCounter().yearFraction(todaysDate(),start,
todaysDate(),start);
Date end = start.plus(length);
Time timeLength = dayCounter().yearFraction(start,end,start,end);
return volatilityImpl(startTime,timeLength,strike);
}
inline double SwaptionVolatilityStructure::volatility(Time start,
Time length,
Rate strike) const {
return volatilityImpl(start,length,strike);
}
}
#endif
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