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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2002, 2003 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/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
namespace QuantLib {
BlackVolTermStructure::BlackVolTermStructure(const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: VolatilityTermStructure(bdc, dc) {
calendar_ = cal;
}
BlackVolTermStructure::BlackVolTermStructure(BusinessDayConvention bdc,
const DayCounter& dc)
: VolatilityTermStructure(bdc, dc) {}
BlackVolTermStructure::BlackVolTermStructure(const Date& refDate,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: VolatilityTermStructure(refDate, cal, bdc, dc) {}
BlackVolTermStructure::BlackVolTermStructure(Natural settlDays,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: VolatilityTermStructure(settlDays, cal, bdc, dc) {}
Volatility BlackVolTermStructure::blackForwardVol(const Date& date1,
const Date& date2,
Real strike,
bool extrapolate) const {
// (redundant) date-based checks
QL_REQUIRE(date1 <= date2,
date1 << " later than " << date2);
checkRange(date2, extrapolate);
// using the time implementation
Time time1 = timeFromReference(date1);
Time time2 = timeFromReference(date2);
return blackForwardVol(time1, time2, strike, extrapolate);
}
Volatility BlackVolTermStructure::blackForwardVol(Time time1,
Time time2,
Real strike,
bool extrapolate) const {
QL_REQUIRE(time1 <= time2,
time1 << " later than " << time2);
checkRange(time2, extrapolate);
checkStrike(strike, extrapolate);
if (time2==time1) {
if (time1==0.0) {
Time epsilon = 1.0e-5;
Real var = blackVarianceImpl(epsilon, strike);
return std::sqrt(var/epsilon);
} else {
Time epsilon = std::min<Time>(1.0e-5, time1);
Real var1 = blackVarianceImpl(time1-epsilon, strike);
Real var2 = blackVarianceImpl(time1+epsilon, strike);
QL_ENSURE(var2>=var1,
"variances must be non-decreasing");
return std::sqrt((var2-var1)/(2*epsilon));
}
} else {
Real var1 = blackVarianceImpl(time1, strike);
Real var2 = blackVarianceImpl(time2, strike);
QL_ENSURE(var2 >= var1,
"variances must be non-decreasing");
return std::sqrt((var2-var1)/(time2-time1));
}
}
Real BlackVolTermStructure::blackForwardVariance(const Date& date1,
const Date& date2,
Real strike,
bool extrapolate)
const {
// (redundant) date-based checks
QL_REQUIRE(date1 <= date2,
date1 << " later than " << date2);
checkRange(date2, extrapolate);
// using the time implementation
Time time1 = timeFromReference(date1);
Time time2 = timeFromReference(date2);
return blackForwardVariance(time1, time2, strike, extrapolate);
}
Real BlackVolTermStructure::blackForwardVariance(Time time1,
Time time2,
Real strike,
bool extrapolate) const {
QL_REQUIRE(time1 <= time2,
time1 << " later than " << time2);
checkRange(time2, extrapolate);
checkStrike(strike, extrapolate);
Real v1 = blackVarianceImpl(time1, strike);
Real v2 = blackVarianceImpl(time2, strike);
QL_ENSURE(v2 >= v1,
"variances must be non-decreasing");
return v2-v1;
}
BlackVolatilityTermStructure::BlackVolatilityTermStructure(
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackVolTermStructure(bdc, dc) {
calendar_ = cal;
}
BlackVolatilityTermStructure::BlackVolatilityTermStructure(
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackVolTermStructure(bdc, dc) {}
BlackVolatilityTermStructure::BlackVolatilityTermStructure(
const Date& refDate,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackVolTermStructure(refDate, cal, bdc, dc) {}
BlackVolatilityTermStructure::BlackVolatilityTermStructure(
Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackVolTermStructure(settlementDays, cal, bdc, dc) {}
BlackVarianceTermStructure::BlackVarianceTermStructure(
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackVolTermStructure(bdc, dc) {
calendar_ = cal;
}
BlackVarianceTermStructure::BlackVarianceTermStructure(
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackVolTermStructure(bdc, dc) {}
BlackVarianceTermStructure::BlackVarianceTermStructure(
const Date& refDate,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackVolTermStructure(refDate, cal, bdc, dc) {}
BlackVarianceTermStructure::BlackVarianceTermStructure(
Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackVolTermStructure(settlementDays, cal, bdc, dc) {}
}
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