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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2002, 2003 Ferdinando Ametrano
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 blackvoltermstructure.hpp
\brief Black volatility term structure base classes
*/
#ifndef quantlib_black_vol_term_structures_hpp
#define quantlib_black_vol_term_structures_hpp
#include <ql/termstructures/voltermstructure.hpp>
#include <ql/patterns/visitor.hpp>
namespace QuantLib {
//! Black-volatility term structure
/*! This abstract class defines the interface of concrete
Black-volatility term structures which will be derived from
this one.
Volatilities are assumed to be expressed on an annual basis.
*/
class BlackVolTermStructure : 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.
*/
BlackVolTermStructure(const Calendar& cal,
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
#endif
//! default constructor
/*! \warning term structures initialized by means of this
constructor must manage their own reference date
by overriding the referenceDate() method.
*/
BlackVolTermStructure(BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! initialize with a fixed reference date
BlackVolTermStructure(const Date& referenceDate,
const Calendar& cal = Calendar(),
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! calculate the reference date based on the global evaluation date
BlackVolTermStructure(Natural settlementDays,
const Calendar&,
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//@}
virtual ~BlackVolTermStructure() {}
//! \name Black Volatility
//@{
//! spot volatility
Volatility blackVol(const Date& maturity,
Real strike,
bool extrapolate = false) const;
//! spot volatility
Volatility blackVol(Time maturity,
Real strike,
bool extrapolate = false) const;
//! spot variance
Real blackVariance(const Date& maturity,
Real strike,
bool extrapolate = false) const;
//! spot variance
Real blackVariance(Time maturity,
Real strike,
bool extrapolate = false) const;
//! forward (at-the-money) volatility
Volatility blackForwardVol(const Date& date1,
const Date& date2,
Real strike,
bool extrapolate = false) const;
//! forward (at-the-money) volatility
Volatility blackForwardVol(Time time1,
Time time2,
Real strike,
bool extrapolate = false) const;
//! forward (at-the-money) variance
Real blackForwardVariance(const Date& date1,
const Date& date2,
Real strike,
bool extrapolate = false) const;
//! forward (at-the-money) variance
Real blackForwardVariance(Time time1,
Time time2,
Real strike,
bool extrapolate = false) const;
//@}
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
protected:
/*! \name Calculations
These methods must be implemented in derived classes to perform
the actual volatility calculations. When they are called,
range check has already been performed; therefore, they must
assume that extrapolation is required.
*/
//@{
//! Black variance calculation
virtual Real blackVarianceImpl(Time t, Real strike) const = 0;
//! Black volatility calculation
virtual Volatility blackVolImpl(Time t, Real strike) const = 0;
//@}
private:
static const Time dT;
};
//! Black-volatility term structure
/*! This abstract class acts as an adapter to BlackVolTermStructure
allowing the programmer to implement only the
<tt>blackVolImpl(Time, Real, bool)</tt> method in derived classes.
Volatility are assumed to be expressed on an annual basis.
*/
class BlackVolatilityTermStructure : public BlackVolTermStructure {
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.
*/
BlackVolatilityTermStructure(const Calendar& cal,
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
#endif
//! default constructor
/*! \warning term structures initialized by means of this
constructor must manage their own reference date
by overriding the referenceDate() method.
*/
BlackVolatilityTermStructure(BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! initialize with a fixed reference date
BlackVolatilityTermStructure(const Date& referenceDate,
const Calendar& cal = Calendar(),
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! calculate the reference date based on the global evaluation date
BlackVolatilityTermStructure(Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//@}
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
protected:
/*! Returns the variance for the given strike and date calculating it
from the volatility.
*/
Real blackVarianceImpl(Time maturity, Real strike) const;
};
//! Black variance term structure
/*! This abstract class acts as an adapter to VolTermStructure allowing
the programmer to implement only the
<tt>blackVarianceImpl(Time, Real, bool)</tt> method in derived
classes.
Volatility are assumed to be expressed on an annual basis.
*/
class BlackVarianceTermStructure : public BlackVolTermStructure {
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.
*/
BlackVarianceTermStructure(const Calendar& cal,
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
#endif
//! default constructor
/*! \warning term structures initialized by means of this
constructor must manage their own reference date
by overriding the referenceDate() method.
*/
BlackVarianceTermStructure(BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! initialize with a fixed reference date
BlackVarianceTermStructure(const Date& referenceDate,
const Calendar& cal = Calendar(),
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! calculate the reference date based on the global evaluation date
BlackVarianceTermStructure(Natural settlementDays,
const Calendar&,
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//@}
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
protected:
/*! Returns the volatility for the given strike and date calculating it
from the variance.
*/
Volatility blackVolImpl(Time t,
Real strike) const;
};
// inline definitions
inline Volatility BlackVolTermStructure::blackVol(const Date& d,
Real strike,
bool extrapolate) const {
checkRange(d, extrapolate);
checkStrike(strike, extrapolate);
Time t = timeFromReference(d);
return blackVolImpl(t, strike);
}
inline Volatility BlackVolTermStructure::blackVol(Time t,
Real strike,
bool extrapolate) const {
checkRange(t, extrapolate);
checkStrike(strike, extrapolate);
return blackVolImpl(t, strike);
}
inline Real BlackVolTermStructure::blackVariance(const Date& d,
Real strike,
bool extrapolate) const {
checkRange(d, extrapolate);
checkStrike(strike, extrapolate);
Time t = timeFromReference(d);
return blackVarianceImpl(t, strike);
}
inline Real BlackVolTermStructure::blackVariance(Time t,
Real strike,
bool extrapolate) const {
checkRange(t, extrapolate);
checkStrike(strike, extrapolate);
return blackVarianceImpl(t, strike);
}
inline void BlackVolTermStructure::accept(AcyclicVisitor& v) {
Visitor<BlackVolTermStructure>* v1 =
dynamic_cast<Visitor<BlackVolTermStructure>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
QL_FAIL("not a Black-volatility term structure visitor");
}
inline
Real BlackVolatilityTermStructure::blackVarianceImpl(Time t,
Real strike) const {
Volatility vol = blackVolImpl(t, strike);
return vol*vol*t;
}
inline void BlackVolatilityTermStructure::accept(AcyclicVisitor& v) {
Visitor<BlackVolatilityTermStructure>* v1 =
dynamic_cast<Visitor<BlackVolatilityTermStructure>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
BlackVolTermStructure::accept(v);
}
inline
Volatility BlackVarianceTermStructure ::blackVolImpl(Time t,
Real strike) const {
Time nonZeroMaturity = (t==0.0 ? 0.00001 : t);
Real var = blackVarianceImpl(nonZeroMaturity, strike);
return std::sqrt(var/nonZeroMaturity);
}
inline void BlackVarianceTermStructure::accept(AcyclicVisitor& v) {
Visitor<BlackVarianceTermStructure>* v1 =
dynamic_cast<Visitor<BlackVarianceTermStructure>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
BlackVolTermStructure::accept(v);
}
}
#endif
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