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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 localvoltermstructure.hpp
\brief Local volatility term structure base class
*/
#ifndef quantlib_local_vol_term_structures_hpp
#define quantlib_local_vol_term_structures_hpp
#include <ql/termstructures/voltermstructure.hpp>
#include <ql/patterns/visitor.hpp>
namespace QuantLib {
/*! This abstract class defines the interface of concrete
local-volatility term structures which will be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
*/
class LocalVolTermStructure : 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.
*/
LocalVolTermStructure(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.
*/
LocalVolTermStructure(BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! initialize with a fixed reference date
LocalVolTermStructure(const Date& referenceDate,
const Calendar& cal = Calendar(),
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! calculate the reference date based on the global evaluation date
LocalVolTermStructure(Natural settlementDays,
const Calendar&,
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//@}
virtual ~LocalVolTermStructure() {}
//! \name Local Volatility
//@{
Volatility localVol(const Date& d,
Real underlyingLevel,
bool extrapolate = false) const;
Volatility localVol(Time t,
Real underlyingLevel,
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.
*/
//@{
//! local vol calculation
virtual Volatility localVolImpl(Time t, Real strike) const = 0;
//@}
};
}
#endif
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