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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007 StatPro Italia 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
<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/swaptionconstantvol.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/quotes/simplequote.hpp>
namespace QuantLib {
SwaptionConstantVolatility::SwaptionConstantVolatility(
const Date& referenceDate,
Volatility volatility,
const DayCounter& dayCounter)
: SwaptionVolatilityStructure(referenceDate),
volatility_(boost::shared_ptr<Quote>(new SimpleQuote(volatility))),
dayCounter_(dayCounter), maxSwapTenor_(100*Years) {}
SwaptionConstantVolatility::SwaptionConstantVolatility(
const Date& referenceDate,
const Handle<Quote>& volatility,
const DayCounter& dayCounter)
: SwaptionVolatilityStructure(referenceDate), volatility_(volatility),
dayCounter_(dayCounter), maxSwapTenor_(100*Years) {
registerWith(volatility_);
}
SwaptionConstantVolatility::SwaptionConstantVolatility(
Natural settlementDays,
const Calendar& calendar,
Volatility volatility,
const DayCounter& dayCounter)
: SwaptionVolatilityStructure(settlementDays, calendar),
volatility_(boost::shared_ptr<Quote>(new SimpleQuote(volatility))),
dayCounter_(dayCounter), maxSwapTenor_(100*Years) {}
SwaptionConstantVolatility::SwaptionConstantVolatility(
Natural settlementDays,
const Calendar& calendar,
const Handle<Quote>& volatility,
const DayCounter& dayCounter)
: SwaptionVolatilityStructure(settlementDays, calendar),
volatility_(volatility), dayCounter_(dayCounter),
maxSwapTenor_(100*Years) {
registerWith(volatility_);
}
Volatility SwaptionConstantVolatility::volatilityImpl(const Date&,
const Period&,
Rate) const {
return volatility_->value();
}
Volatility SwaptionConstantVolatility::volatilityImpl(
Time, Time, Rate) const {
return volatility_->value();
}
boost::shared_ptr<SmileSection>
SwaptionConstantVolatility::smileSectionImpl(Time optionTime,
Time) const {
Volatility atmVol = volatility_->value();
return boost::shared_ptr<SmileSection>(new
FlatSmileSection(optionTime, atmVol));
}
}
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