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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 simplelocalestimator.hpp
\brief Constant volatility estimator
*/
#ifndef quantlib_simple_local_estimator_hpp
#define quantlib_simple_local_estimator_hpp
#include <ql/volatilitymodel.hpp>
#include <map>
namespace QuantLib {
//! Local-estimator volatility model
/*! Volatilities are assumed to be expressed on an annual basis.
*/
class SimpleLocalEstimator :
public LocalVolatilityEstimator<Real> {
private:
Real yearFraction_;
public:
SimpleLocalEstimator(Real y) :
yearFraction_(y) {}
TimeSeries<Volatility>
calculate(const TimeSeries<Real> "eSeries) {
TimeSeries<Volatility> retval;
TimeSeries<Real>::const_iterator prev, next, cur, start;
start = quoteSeries.begin();
++start;
for (cur = start; cur != quoteSeries.end(); ++cur) {
prev = cur; --prev;
retval[cur->first] =
std::fabs(std::log(cur->second/prev->second))/
std::sqrt(yearFraction_);
}
return retval;
}
};
}
#endif
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