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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano
Copyright (C) 2003 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 <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
namespace QuantLib {
BlackVarianceCurve::BlackVarianceCurve(
const Date& referenceDate,
const std::vector<Date>& dates,
const std::vector<Volatility>& blackVolCurve,
const DayCounter& dayCounter,
bool forceMonotoneVariance)
: BlackVarianceTermStructure(referenceDate),
dayCounter_(dayCounter), maxDate_(dates.back()) {
QL_REQUIRE(dates.size()==blackVolCurve.size(),
"mismatch between date vector and black vol vector");
// cannot have dates[0]==referenceDate, since the
// value of the vol at dates[0] would be lost
// (variance at referenceDate must be zero)
QL_REQUIRE(dates[0]>referenceDate,
"cannot have dates[0] <= referenceDate");
variances_ = std::vector<Real>(dates.size()+1);
times_ = std::vector<Time>(dates.size()+1);
variances_[0] = 0.0;
times_[0] = 0.0;
Size j;
for (j=1; j<=blackVolCurve.size(); j++) {
times_[j] = timeFromReference(dates[j-1]);
QL_REQUIRE(times_[j]>times_[j-1],
"dates must be sorted unique!");
variances_[j] = times_[j] *
blackVolCurve[j-1]*blackVolCurve[j-1];
QL_REQUIRE(variances_[j]>=variances_[j-1]
|| !forceMonotoneVariance,
"variance must be non-decreasing");
}
// default: linear interpolation
setInterpolation<Linear>();
}
Real BlackVarianceCurve::blackVarianceImpl(Time t, Real) const {
if (t<=times_.back()) {
return varianceCurve_(t, true);
} else {
// extrapolate with flat vol
return varianceCurve_(times_.back(), true)*t/times_.back();
}
}
}
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