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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2008 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 drifttermstructure.hpp
\brief Drift term structure
*/
#ifndef quantlib_drift_term_structure_hpp
#define quantlib_drift_term_structure_hpp
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/yield/zeroyieldstructure.hpp>
#include <utility>
namespace QuantLib {
/*! \deprecated To be removed as unused.
Copy it in your codebase if you need it.
Deprecated in version 1.26.
*/
class QL_DEPRECATED DriftTermStructure : public ZeroYieldStructure {
public:
DriftTermStructure(const Handle<YieldTermStructure>& riskFreeTS,
Handle<YieldTermStructure> dividendTS,
Handle<BlackVolTermStructure> blackVolTS);
//! \name YieldTermStructure interface
//@{
DayCounter dayCounter() const override;
Calendar calendar() const override;
Natural settlementDays() const override;
const Date& referenceDate() const override;
Date maxDate() const override;
//@}
protected:
//! returns the discount factor as seen from the evaluation date
Rate zeroYieldImpl(Time) const override;
private:
Handle<YieldTermStructure> riskFreeTS_, dividendTS_;
Handle<BlackVolTermStructure> blackVolTS_;
Real underlyingLevel_;
};
// inline definitions
inline DriftTermStructure::DriftTermStructure(const Handle<YieldTermStructure>& riskFreeTS,
Handle<YieldTermStructure> dividendTS,
Handle<BlackVolTermStructure> blackVolTS)
: ZeroYieldStructure(riskFreeTS->dayCounter()), riskFreeTS_(riskFreeTS),
dividendTS_(std::move(dividendTS)), blackVolTS_(std::move(blackVolTS)) {
registerWith(riskFreeTS_);
registerWith(dividendTS_);
registerWith(blackVolTS_);
}
inline DayCounter DriftTermStructure::dayCounter() const {
return riskFreeTS_->dayCounter();
}
inline Calendar DriftTermStructure::calendar() const {
return riskFreeTS_->calendar();
}
inline Natural DriftTermStructure::settlementDays() const {
return riskFreeTS_->settlementDays();
}
inline const Date& DriftTermStructure::referenceDate() const {
// warning: here it is assumed that all TS have the same referenceDate
// It should be QL_REQUIREd
return riskFreeTS_->referenceDate();
}
inline Date DriftTermStructure::maxDate() const {
return std::min(std::min(dividendTS_->maxDate(),
riskFreeTS_->maxDate()),
blackVolTS_->maxDate());
}
inline Rate DriftTermStructure::zeroYieldImpl(Time t) const {
// warning: here it is assumed that
// a) all TS have the same daycount.
// b) all TS have the same referenceDate
// It should be QL_REQUIREd
return riskFreeTS_->zeroRate(t, Continuous, NoFrequency, true).rate()
- dividendTS_->zeroRate(t, Continuous, NoFrequency, true).rate()
- 0.5 * blackVolTS_->blackVol(t, underlyingLevel_, true)
* blackVolTS_->blackVol(t, underlyingLevel_, true);
}
}
#endif
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