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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 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.
*/
/*! \file impliedvoltermstructure.hpp
\brief Implied Black Vol Term Structure
*/
#ifndef quantlib_implied_vol_term_structure_hpp
#define quantlib_implied_vol_term_structure_hpp
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
namespace QuantLib {
//! Implied vol term structure at a given date in the future
/*! The given date will be the implied reference date.
\note This term structure will remain linked to the original
structure, i.e., any changes in the latter will be reflected
in this structure as well.
\warning It doesn't make financial sense to have an
asset-dependant implied Vol Term Structure. This
class should be used with term structures that are
time dependant only.
*/
class ImpliedVolTermStructure : public BlackVarianceTermStructure {
public:
ImpliedVolTermStructure(const Handle<BlackVolTermStructure>& origTS,
const Date& referenceDate);
//! \name TermStructure interface
//@{
DayCounter dayCounter() const { return originalTS_->dayCounter(); }
Date maxDate() const;
//@}
//! \name VolatilityTermStructure interface
//@{
Real minStrike() const;
Real maxStrike() const;
//@}
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
protected:
virtual Real blackVarianceImpl(Time t, Real strike) const;
private:
Handle<BlackVolTermStructure> originalTS_;
};
// inline definitions
inline ImpliedVolTermStructure::ImpliedVolTermStructure(
const Handle<BlackVolTermStructure>& originalTS,
const Date& referenceDate)
: BlackVarianceTermStructure(referenceDate), originalTS_(originalTS) {
registerWith(originalTS_);
}
inline Date ImpliedVolTermStructure::maxDate() const {
return originalTS_->maxDate();
}
inline Real ImpliedVolTermStructure::minStrike() const {
return originalTS_->minStrike();
}
inline Real ImpliedVolTermStructure::maxStrike() const {
return originalTS_->maxStrike();
}
inline void ImpliedVolTermStructure::accept(AcyclicVisitor& v) {
Visitor<ImpliedVolTermStructure>* v1 =
dynamic_cast<Visitor<ImpliedVolTermStructure>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
BlackVarianceTermStructure::accept(v);
}
inline Real ImpliedVolTermStructure::blackVarianceImpl(Time t,
Real strike) const {
/* timeShift (and/or variance) variance at evaluation date
cannot be cached since the original curve could change
between invocations of this method */
Time timeShift =
dayCounter().yearFraction(originalTS_->referenceDate(),
referenceDate());
/* t is relative to the current reference date
and needs to be converted to the time relative
to the reference date of the original curve */
return originalTS_->blackForwardVariance(timeShift,
timeShift+t,
strike,
true);
}
}
#endif
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