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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Giorgio Facchinetti
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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.
*/
#include <ql/termstructures/volatility/swaption/spreadedswaptionvol.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
namespace QuantLib {
SpreadedSwaptionVolatilityStructure::SpreadedSwaptionVolatilityStructure(
const Handle<SwaptionVolatilityStructure>& underlyingVolStructure,
const Handle<Quote>& spread)
: SwaptionVolatilityStructure(underlyingVolStructure->settlementDays(),
underlyingVolStructure->calendar(),
underlyingVolStructure->dayCounter(),
underlyingVolStructure->businessDayConvention()),
underlyingVolStructure_(underlyingVolStructure),
spread_(spread) {
registerWith(underlyingVolStructure_);
registerWith(spread_);
enableExtrapolation(underlyingVolStructure->allowsExtrapolation());
}
Volatility SpreadedSwaptionVolatilityStructure::volatilityImpl(
Time optionTime,
Time swapLength,
Rate strike) const {
return underlyingVolStructure_
->volatility(optionTime, swapLength, strike)+spread_->value();
}
boost::shared_ptr<SmileSection>
SpreadedSwaptionVolatilityStructure::smileSectionImpl(
Time optionTime,
Time swapLength) const {
boost::shared_ptr<SmileSection> underlyingSmile =
underlyingVolStructure_->smileSection(optionTime, swapLength);
return boost::shared_ptr<SmileSection>(new
SpreadedSmileSection(underlyingSmile, spread_));
}
boost::shared_ptr<SmileSection>
SpreadedSwaptionVolatilityStructure::smileSectionImpl(
const Date& optionDate,
const Period& swapTenor) const {
boost::shared_ptr<SmileSection> underlyingSmile =
underlyingVolStructure_->smileSection(optionDate,swapTenor);
return boost::shared_ptr<SmileSection>(new
SpreadedSmileSection(underlyingSmile, spread_));
}
const Period& SpreadedSwaptionVolatilityStructure::maxSwapTenor() const {
return underlyingVolStructure_->maxSwapTenor();
}
Rate SpreadedSwaptionVolatilityStructure::minStrike() const {
return underlyingVolStructure_->minStrike();
}
Rate SpreadedSwaptionVolatilityStructure::maxStrike() const {
return underlyingVolStructure_->maxStrike();
}
Time SpreadedSwaptionVolatilityStructure::maxSwapLength() const {
return underlyingVolStructure_->maxSwapLength();
}
BusinessDayConvention
SpreadedSwaptionVolatilityStructure::businessDayConvention() const {
return underlyingVolStructure_->businessDayConvention();
}
std::pair<Time,Time>
SpreadedSwaptionVolatilityStructure::convertDates(
const Date& optionDate,
const Period& swapTenor) const {
return underlyingVolStructure_->convertDates(optionDate, swapTenor);
}
DayCounter SpreadedSwaptionVolatilityStructure::dayCounter() const {
return underlyingVolStructure_->dayCounter();
}
Date SpreadedSwaptionVolatilityStructure::maxDate() const {
return underlyingVolStructure_->maxDate();
}
Time SpreadedSwaptionVolatilityStructure::maxTime() const {
return underlyingVolStructure_->maxTime();
}
const Date& SpreadedSwaptionVolatilityStructure::referenceDate() const {
return underlyingVolStructure_->referenceDate();
}
Calendar SpreadedSwaptionVolatilityStructure::calendar() const {
return underlyingVolStructure_->calendar();
}
Natural SpreadedSwaptionVolatilityStructure::settlementDays() const {
return underlyingVolStructure_->settlementDays();
}
}
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