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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
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/experimental/volatility/equityfxvolsurface.hpp>
namespace QuantLib {
EquityFXVolSurface::EquityFXVolSurface(BusinessDayConvention bdc,
const DayCounter& dc)
: BlackVolSurface(bdc, dc) {}
EquityFXVolSurface::EquityFXVolSurface(const Date& refDate,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackVolSurface(refDate, cal, bdc, dc) {}
EquityFXVolSurface::EquityFXVolSurface(Natural settlDays,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackVolSurface(settlDays, cal, bdc, dc) {}
Volatility EquityFXVolSurface::atmForwardVol(const Date& date1,
const Date& date2,
bool extrapolate) const {
QL_REQUIRE(date1<date2, "wrong dates");
Time t1 = timeFromReference(date1);
Time t2 = timeFromReference(date2);
return atmForwardVol(t1, t2, extrapolate);
}
Volatility EquityFXVolSurface::atmForwardVol(Time time1,
Time time2,
bool extrapolate) const {
Real fwdVariance = atmForwardVariance(time1, time2, extrapolate);
Time t = time2-time1;
return std::sqrt(fwdVariance/t);
}
Real EquityFXVolSurface::atmForwardVariance(const Date& date1,
const Date& date2,
bool extrapolate) const {
QL_REQUIRE(date1<date2, "wrong dates");
Time t1 = timeFromReference(date1);
Time t2 = timeFromReference(date2);
return atmForwardVariance(t1, t2, extrapolate);
}
Real EquityFXVolSurface::atmForwardVariance(Time time1,
Time time2,
bool extrapolate) const {
QL_REQUIRE(time1<time2, "wrong times");
Real var1 = atmVariance(time1, extrapolate);
Real var2 = atmVariance(time2, extrapolate);
QL_ENSURE(var1<var2, "non-increasing variances");
return var2-var1;
}
void EquityFXVolSurface::accept(AcyclicVisitor& v) {
Visitor<EquityFXVolSurface>* v1 =
dynamic_cast<Visitor<EquityFXVolSurface>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
QL_FAIL("not a EquityFXVolSurface term structure visitor");
}
}
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