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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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.
*/
/*! \file capfloortermvolatilitystructure.hpp
\brief cap/floor term-volatility structure
*/
#ifndef quantlib_capfloor_volatility_structure_hpp
#define quantlib_capfloor_volatility_structure_hpp
#include <ql/termstructures/voltermstructure.hpp>
namespace QuantLib {
//! Cap/floor term-volatility structure
/*! This class is purely abstract and defines the interface of concrete
structures which will be derived from this one.
*/
class CapFloorTermVolatilityStructure : public VolatilityTermStructure {
public:
/*! \name Constructors
See the TermStructure documentation for issues regarding
constructors.
*/
//@{
#ifndef QL_DISABLE_DEPRECATED
/*! \warning term structures initialized by means of this
constructor must manage their own reference date
by overriding the referenceDate() method.
*/
CapFloorTermVolatilityStructure(const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc = DayCounter());
#endif
/*! \warning term structures initialized by means of this
constructor must manage their own reference date
by overriding the referenceDate() method.
*/
CapFloorTermVolatilityStructure(BusinessDayConvention bdc,
const DayCounter& dc = DayCounter());
//! initialize with a fixed reference date
CapFloorTermVolatilityStructure(const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc = DayCounter());
//! calculate the reference date based on the global evaluation date
CapFloorTermVolatilityStructure(Natural settlementDays,
const Calendar&,
BusinessDayConvention bdc,
const DayCounter& dc = DayCounter());
//@}
virtual ~CapFloorTermVolatilityStructure() {}
//! \name Volatility
//@{
//! returns the volatility for a given cap/floor length and strike rate
Volatility volatility(const Period& length,
Rate strike,
bool extrapolate = false) const;
Volatility volatility(const Date& end,
Rate strike,
bool extrapolate = false) const;
//! returns the volatility for a given end time and strike rate
Volatility volatility(Time t,
Rate strike,
bool extrapolate = false) const;
//@}
protected:
//! implements the actual volatility calculation in derived classes
virtual Volatility volatilityImpl(Time length,
Rate strike) const = 0;
};
// inline definitions
inline
Volatility CapFloorTermVolatilityStructure::volatility(const Period& optT,
Rate strike,
bool extrap) const {
Date d = optionDateFromTenor(optT);
return volatility(d, strike, extrap);
}
inline
Volatility CapFloorTermVolatilityStructure::volatility(const Date& d,
Rate strike,
bool extrap) const {
checkRange(d, extrap);
Time t = timeFromReference(d);
return volatility(t, strike, extrap);
}
inline
Volatility CapFloorTermVolatilityStructure::volatility(Time t,
Rate strike,
bool extrap) const {
checkRange(t, extrap);
checkStrike(strike, extrap);
return volatilityImpl(t, strike);
}
}
#endif
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