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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Ferdinando Ametrano
Copyright (C) 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006 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/swaptionvolstructure.hpp>
#include <ql/time/period.hpp>
namespace QuantLib {
SwaptionVolatilityStructure::SwaptionVolatilityStructure(
const Calendar& cal,
const DayCounter& dc,
BusinessDayConvention bdc)
: VolatilityTermStructure(cal, bdc, dc) {}
SwaptionVolatilityStructure::SwaptionVolatilityStructure(
const Date& referenceDate,
const Calendar& calendar,
const DayCounter& dc,
BusinessDayConvention bdc)
: VolatilityTermStructure(referenceDate, calendar, bdc, dc) {}
SwaptionVolatilityStructure::SwaptionVolatilityStructure(
Natural settlementDays,
const Calendar& calendar,
const DayCounter& dc,
BusinessDayConvention bdc)
: VolatilityTermStructure(settlementDays, calendar, bdc, dc) {}
Time SwaptionVolatilityStructure::maxSwapLength() const {
//Date d = referenceDate()+maxSwapTenor();
Date d = optionDateFromTenor(maxSwapTenor());
Time t = timeFromReference(d);
return t;
}
std::pair<Time,Time>
SwaptionVolatilityStructure::convertDates(const Date& optionDate,
const Period& swapTenor) const {
Date end = optionDate + swapTenor;
QL_REQUIRE(end>optionDate,
"negative swap tenor (" << swapTenor << ") given");
Time optionTime = timeFromReference(optionDate);
Time timeLength = dayCounter().yearFraction(optionDate, end);
return std::make_pair(optionTime, timeLength);
}
void SwaptionVolatilityStructure::checkRange(
const Date& optionDate, const Period& swapTenor,
Rate k, bool extrapolate) const {
TermStructure::checkRange(timeFromReference(optionDate),
extrapolate);
QL_REQUIRE(swapTenor.length() > 0,
"negative swap tenor (" << swapTenor << ") given");
QL_REQUIRE(extrapolate || allowsExtrapolation() ||
swapTenor <= maxSwapTenor(),
"swap tenor (" << swapTenor << ") is past max tenor ("
<< maxSwapTenor() << ")");
QL_REQUIRE(extrapolate || allowsExtrapolation() ||
(k >= minStrike() && k <= maxStrike()),
"strike (" << k << ") is outside the curve domain ["
<< minStrike() << "," << maxStrike()<< "]");
}
}
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