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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005, 2006 Klaus Spanderen
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/legacy/libormarketmodels/lmfixedvolmodel.hpp>
namespace QuantLib {
LmFixedVolatilityModel::LmFixedVolatilityModel(
const Array& volatilities,
const std::vector<Time>& startTimes)
: LmVolatilityModel(startTimes.size(), 0),
volatilities_ (volatilities),
startTimes_ (startTimes) {
QL_REQUIRE(startTimes_.size()>1, "too few dates");
QL_REQUIRE(volatilities_.size() == startTimes_.size(),
"volatility array and fixing time array have to have "
"the same size");
for (Size i = 1; i < startTimes_.size(); i++) {
QL_REQUIRE(startTimes_[i] > startTimes_[i-1],
"invalid time (" << startTimes_[i] << ", vs "
<< startTimes_[i-1] << ")");
}
}
Disposable<Array> LmFixedVolatilityModel::volatility(
Time t, const Array&) const {
QL_REQUIRE(t >= startTimes_.front() && t <= startTimes_.back(),
"invalid time given for volatility model");
const Size ti = std::upper_bound(startTimes_.begin(),
startTimes_.end()-1, t)
- startTimes_.begin()-1;
Array tmp(size_, 0.0);
for (Size i=ti; i<size_; ++i) {
tmp[i] = volatilities_[i-ti];
}
return tmp;
}
Volatility LmFixedVolatilityModel::volatility(
Size i, Time t, const Array&) const {
QL_REQUIRE(t >= startTimes_.front() && t <= startTimes_.back(),
"invalid time given for volatility model");
const Size ti = std::upper_bound(startTimes_.begin(),
startTimes_.end()-1, t)
- startTimes_.begin()-1;
return volatilities_[i-ti];
}
void LmFixedVolatilityModel::generateArguments() {
return;
}
}
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