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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Ferdinando Ametrano
Copyright (C) 2006, 2007 StatPro Italia srl
Copyright (C) 2015 Peter Caspers
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.
*/
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>
#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
#include <utility>
namespace QuantLib {
// floating reference date, floating market data
ConstantSwaptionVolatility::ConstantSwaptionVolatility(Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
Handle<Quote> vol,
const DayCounter& dc,
const VolatilityType type,
const Real shift)
: SwaptionVolatilityStructure(settlementDays, cal, bdc, dc), volatility_(std::move(vol)),
maxSwapTenor_(100 * Years), volatilityType_(type), shift_(shift) {
registerWith(volatility_);
}
// fixed reference date, floating market data
ConstantSwaptionVolatility::ConstantSwaptionVolatility(const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
Handle<Quote> vol,
const DayCounter& dc,
const VolatilityType type,
const Real shift)
: SwaptionVolatilityStructure(referenceDate, cal, bdc, dc), volatility_(std::move(vol)),
maxSwapTenor_(100 * Years), volatilityType_(type), shift_(shift) {
registerWith(volatility_);
}
// floating reference date, fixed market data
ConstantSwaptionVolatility::ConstantSwaptionVolatility(
Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
Volatility vol,
const DayCounter& dc,
const VolatilityType type,
const Real shift)
: SwaptionVolatilityStructure(settlementDays, cal, bdc, dc),
volatility_(ext::shared_ptr<Quote>(new SimpleQuote(vol))),
maxSwapTenor_(100*Years), volatilityType_(type), shift_(shift) {}
// fixed reference date, fixed market data
ConstantSwaptionVolatility::ConstantSwaptionVolatility(
const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
Volatility vol,
const DayCounter& dc,
const VolatilityType type,
const Real shift)
: SwaptionVolatilityStructure(referenceDate, cal, bdc, dc),
volatility_(ext::shared_ptr<Quote>(new SimpleQuote(vol))),
maxSwapTenor_(100*Years), volatilityType_(type), shift_(shift) {}
ext::shared_ptr<SmileSection>
ConstantSwaptionVolatility::smileSectionImpl(const Date& d,
const Period&) const {
Volatility atmVol = volatility_->value();
return ext::shared_ptr<SmileSection>(
new FlatSmileSection(d, atmVol, dayCounter(), referenceDate(),
Null<Rate>(), volatilityType_, shift_));
}
ext::shared_ptr<SmileSection>
ConstantSwaptionVolatility::smileSectionImpl(Time optionTime,
Time) const {
Volatility atmVol = volatility_->value();
return ext::shared_ptr<SmileSection>(
new FlatSmileSection(optionTime, atmVol, dayCounter(), Null<Rate>(),
volatilityType_, shift_));
}
Volatility ConstantSwaptionVolatility::volatilityImpl(const Date&,
const Period&,
Rate) const {
return volatility_->value();
}
Volatility ConstantSwaptionVolatility::volatilityImpl(Time,
Time,
Rate) const {
return volatility_->value();
}
}
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