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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/localvoltermstructure.hpp>
namespace QuantLib {
LocalVolTermStructure::LocalVolTermStructure(const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: VolatilityTermStructure(bdc, dc) {
calendar_ = cal;
}
LocalVolTermStructure::LocalVolTermStructure(BusinessDayConvention bdc,
const DayCounter& dc)
: VolatilityTermStructure(bdc, dc) {}
LocalVolTermStructure::LocalVolTermStructure(const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: VolatilityTermStructure(referenceDate, cal, bdc, dc) {}
LocalVolTermStructure::LocalVolTermStructure(Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: VolatilityTermStructure(settlementDays, cal, bdc, dc) {}
Volatility LocalVolTermStructure::localVol(const Date& d,
Real underlyingLevel,
bool extrapolate) const {
checkRange(d, extrapolate);
checkStrike(underlyingLevel, extrapolate);
Time t = timeFromReference(d);
return localVolImpl(t, underlyingLevel);
}
Volatility LocalVolTermStructure::localVol(Time t,
Real underlyingLevel,
bool extrapolate) const {
checkRange(t, extrapolate);
checkStrike(underlyingLevel, extrapolate);
return localVolImpl(t, underlyingLevel);
}
void LocalVolTermStructure::accept(AcyclicVisitor& v) {
Visitor<LocalVolTermStructure>* v1 =
dynamic_cast<Visitor<LocalVolTermStructure>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
QL_FAIL("not a local-volatility term structure visitor");
}
}
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