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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Ferdinando Ametrano
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 constantcapfloortermvol.hpp
\brief Constant cap/floor term volatility
*/
#ifndef quantlib_constant_capfloor_term_volatility_hpp
#define quantlib_constant_capfloor_term_volatility_hpp
#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp>
namespace QuantLib {
class Quote;
//! Constant caplet volatility, no time-strike dependence
class ConstantCapFloorTermVolatility : public CapFloorTermVolatilityStructure {
public:
//! floating reference date, floating market data
ConstantCapFloorTermVolatility(Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
const Handle<Quote>& volatility,
const DayCounter& dc);
//! fixed reference date, floating market data
ConstantCapFloorTermVolatility(const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
const Handle<Quote>& volatility,
const DayCounter& dc);
//! floating reference date, fixed market data
ConstantCapFloorTermVolatility(Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
Volatility volatility,
const DayCounter& dc);
//! fixed reference date, fixed market data
ConstantCapFloorTermVolatility(const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
Volatility volatility,
const DayCounter& dc);
//! \name TermStructure interface
//@{
Date maxDate() const;
//@}
//! \name VolatilityTermStructure interface
//@{
Real minStrike() const;
Real maxStrike() const;
//@}
protected:
Volatility volatilityImpl(Time,
Rate) const;
private:
Handle<Quote> volatility_;
};
// inline definitions
inline Date ConstantCapFloorTermVolatility::maxDate() const {
return Date::maxDate();
}
inline Real ConstantCapFloorTermVolatility::minStrike() const {
return QL_MIN_REAL;
}
inline Real ConstantCapFloorTermVolatility::maxStrike() const {
return QL_MAX_REAL;
}
}
#endif
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