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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Joseph Wang
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.
*/
/*! \file constantestimator.hpp
\brief Constant volatility estimator
*/
#ifndef quantlib_constant_estimator_hpp
#define quantlib_constant_estimator_hpp
#include <ql/volatilitymodel.hpp>
#include <vector>
namespace QuantLib {
//! Constant-estimator volatility model
/*! Volatilities are assumed to be expressed on an annual basis.
*/
class ConstantEstimator : public VolatilityCompositor {
private:
Size size_;
public:
ConstantEstimator(Size size)
: size_(size) {}
TimeSeries<Volatility> calculate(const TimeSeries<Volatility>&);
void calibrate(const TimeSeries<Volatility>&) {}
};
}
#endif
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