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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003, 2004 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.
*/
#include "utilities.hpp"
#include <ql/instruments/payoffs.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#define CHECK_DOWNCAST(Derived,Description) { \
ext::shared_ptr<Derived> hd = ext::dynamic_pointer_cast<Derived>(h); \
if (hd) \
return Description; \
}
namespace QuantLib {
std::string payoffTypeToString(const ext::shared_ptr<Payoff>& h) {
CHECK_DOWNCAST(PlainVanillaPayoff, "plain-vanilla");
CHECK_DOWNCAST(CashOrNothingPayoff, "cash-or-nothing");
CHECK_DOWNCAST(AssetOrNothingPayoff, "asset-or-nothing");
CHECK_DOWNCAST(SuperSharePayoff, "super-share");
CHECK_DOWNCAST(SuperFundPayoff, "super-fund");
CHECK_DOWNCAST(PercentageStrikePayoff, "percentage-strike");
CHECK_DOWNCAST(GapPayoff, "gap");
CHECK_DOWNCAST(FloatingTypePayoff, "floating-type");
QL_FAIL("unknown payoff type");
}
std::string exerciseTypeToString(const ext::shared_ptr<Exercise>& h) {
CHECK_DOWNCAST(EuropeanExercise, "European");
CHECK_DOWNCAST(AmericanExercise, "American");
CHECK_DOWNCAST(BermudanExercise, "Bermudan");
QL_FAIL("unknown exercise type");
}
std::string barrierTypeToString(Barrier::Type type) {
switch(type){
case Barrier::DownIn:
return std::string("Down-and-in");
case Barrier::UpIn:
return std::string("Up-and-in");
case Barrier::DownOut:
return std::string("Down-and-out");
case Barrier::UpOut:
return std::string("Up-and-out");
default:
QL_FAIL("unknown exercise type");
}
}
ext::shared_ptr<YieldTermStructure>
flatRate(const Date& today,
const ext::shared_ptr<Quote>& forward,
const DayCounter& dc) {
return ext::shared_ptr<YieldTermStructure>(
new FlatForward(today, Handle<Quote>(forward), dc));
}
ext::shared_ptr<YieldTermStructure>
flatRate(const Date& today, Rate forward, const DayCounter& dc) {
return flatRate(
today, ext::shared_ptr<Quote>(new SimpleQuote(forward)), dc);
}
ext::shared_ptr<YieldTermStructure>
flatRate(const ext::shared_ptr<Quote>& forward,
const DayCounter& dc) {
return ext::shared_ptr<YieldTermStructure>(
new FlatForward(0, NullCalendar(), Handle<Quote>(forward), dc));
}
ext::shared_ptr<YieldTermStructure>
flatRate(Rate forward, const DayCounter& dc) {
return flatRate(ext::shared_ptr<Quote>(new SimpleQuote(forward)),
dc);
}
ext::shared_ptr<BlackVolTermStructure>
flatVol(const Date& today,
const ext::shared_ptr<Quote>& vol,
const DayCounter& dc) {
return ext::shared_ptr<BlackVolTermStructure>(new
BlackConstantVol(today, NullCalendar(), Handle<Quote>(vol), dc));
}
ext::shared_ptr<BlackVolTermStructure>
flatVol(const Date& today, Volatility vol,
const DayCounter& dc) {
return flatVol(today,
ext::shared_ptr<Quote>(new SimpleQuote(vol)),
dc);
}
ext::shared_ptr<BlackVolTermStructure>
flatVol(const ext::shared_ptr<Quote>& vol,
const DayCounter& dc) {
return ext::shared_ptr<BlackVolTermStructure>(new
BlackConstantVol(0, NullCalendar(), Handle<Quote>(vol), dc));
}
ext::shared_ptr<BlackVolTermStructure>
flatVol(Volatility vol,
const DayCounter& dc) {
return flatVol(ext::shared_ptr<Quote>(new SimpleQuote(vol)), dc);
}
Real relativeError(Real x1, Real x2, Real reference) {
if (reference != 0.0)
return std::fabs(x1-x2)/reference;
else
// fall back to absolute error
return std::fabs(x1-x2);
}
}
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