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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/volcube.hpp>
#include <ql/experimental/volatility/abcdatmvolcurve.hpp>
#include <ql/experimental/volatility/interestratevolsurface.hpp>
namespace QuantLib {
VolatilityCube::VolatilityCube(
const std::vector<Handle<InterestRateVolSurface> >& surfaces,
const std::vector<Handle<AbcdAtmVolCurve> >& curves)
: surfaces_(surfaces), curves_(curves)
{
QL_REQUIRE(surfaces_.size()>1, "at least 2 surfaces are needed");
Date refDate = surfaces_[0]->referenceDate();
for (Size i=0; i<surfaces_.size(); ++i) {
QL_REQUIRE(surfaces_[i]->referenceDate() == refDate,
"different reference dates");
//curves_.push_back(surfaces_[i]);
}
for (Size i=0; i<curves_.size(); ++i) {
QL_REQUIRE(curves_[i]->referenceDate() == refDate,
"different reference dates");
}
// sort increasing index tenor
}
}
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