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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006 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.
*/
/*! \file optionletvolatilitystructure.hpp
\brief optionlet (caplet/floorlet) volatility structure
*/
#ifndef quantlib_optionlet_volatility_structure_hpp
#define quantlib_optionlet_volatility_structure_hpp
#include <ql/termstructures/voltermstructure.hpp>
namespace QuantLib {
class SmileSection;
//! Optionlet (caplet/floorlet) volatility structure
/*! This class is purely abstract and defines the interface of
concrete structures which will be derived from this one.
*/
class OptionletVolatilityStructure : public VolatilityTermStructure {
public:
/*! \name Constructors
See the TermStructure documentation for issues regarding
constructors.
*/
//@{
/*! \warning term structures initialized by means of this
constructor must manage their own reference date
by overriding the referenceDate() method.
\deprecated
*/
QL_DEPRECATED
OptionletVolatilityStructure(const Calendar& cal,
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! default constructor
/*! \warning term structures initialized by means of this
constructor must manage their own reference date
by overriding the referenceDate() method.
*/
OptionletVolatilityStructure(BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! initialize with a fixed reference date
OptionletVolatilityStructure(const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc = DayCounter());
//! calculate the reference date based on the global evaluation date
OptionletVolatilityStructure(Natural settlementDays,
const Calendar&,
BusinessDayConvention bdc,
const DayCounter& dc = DayCounter());
//@}
virtual ~OptionletVolatilityStructure() {}
//! \name Volatility and Variance
//@{
//! returns the volatility for a given option tenor and strike rate
Volatility volatility(const Period& optionTenor,
Rate strike,
bool extrapolate = false) const;
//! returns the volatility for a given option date and strike rate
Volatility volatility(const Date& optionDate,
Rate strike,
bool extrapolate = false) const;
//! returns the volatility for a given option time and strike rate
Volatility volatility(Time optionTime,
Rate strike,
bool extrapolate = false) const;
//! returns the Black variance for a given option tenor and strike rate
Real blackVariance(const Period& optionTenor,
Rate strike,
bool extrapolate = false) const;
//! returns the Black variance for a given option date and strike rate
Real blackVariance(const Date& optionDate,
Rate strike,
bool extrapolate = false) const;
//! returns the Black variance for a given option time and strike rate
Real blackVariance(Time optionTime,
Rate strike,
bool extrapolate = false) const;
//! returns the smile for a given option tenor
boost::shared_ptr<SmileSection> smileSection(const Period& optionTenor,
bool extr = false) const;
//! returns the smile for a given option date
boost::shared_ptr<SmileSection> smileSection(const Date& optionDate,
bool extr = false) const;
//! returns the smile for a given option time
boost::shared_ptr<SmileSection> smileSection(Time optionTime,
bool extr = false) const;
//@}
protected:
virtual boost::shared_ptr<SmileSection> smileSectionImpl(
const Date& optionDate) const;
//! implements the actual smile calculation in derived classes
virtual boost::shared_ptr<SmileSection> smileSectionImpl(
Time optionTime) const = 0;
virtual Volatility volatilityImpl(const Date& optionDate,
Rate strike) const;
//! implements the actual volatility calculation in derived classes
virtual Volatility volatilityImpl(Time optionTime,
Rate strike) const = 0;
};
// inline definitions
// 1. Period-based methods convert Period to Date and then
// use the equivalent Date-based methods
inline Volatility
OptionletVolatilityStructure::volatility(const Period& optionTenor,
Rate strike,
bool extrapolate) const {
Date optionDate = optionDateFromTenor(optionTenor);
return volatility(optionDate, strike, extrapolate);
}
inline
Real OptionletVolatilityStructure::blackVariance(const Period& optionTenor,
Rate strike,
bool extrapolate) const {
Date optionDate = optionDateFromTenor(optionTenor);
return blackVariance(optionDate, strike, extrapolate);
}
inline boost::shared_ptr<SmileSection>
OptionletVolatilityStructure::smileSection(const Period& optionTenor,
bool extrapolate) const {
Date optionDate = optionDateFromTenor(optionTenor);
return smileSection(optionDate, extrapolate);
}
// 2. blackVariance methods rely on volatility methods
inline
Real OptionletVolatilityStructure::blackVariance(const Date& optionDate,
Rate strike,
bool extrapolate) const {
Volatility v = volatility(optionDate, strike, extrapolate);
Time t = timeFromReference(optionDate);
return v*v*t;
}
inline
Real OptionletVolatilityStructure::blackVariance(Time optionTime,
Rate strike,
bool extrapolate) const {
Volatility v = volatility(optionTime, strike, extrapolate);
return v*v*optionTime;
}
// 3. relying on xxxImpl methods
inline Volatility
OptionletVolatilityStructure::volatility(const Date& optionDate,
Rate strike,
bool extrapolate) const {
checkRange(optionDate, extrapolate);
checkStrike(strike, extrapolate);
return volatilityImpl(optionDate, strike);
}
inline Volatility
OptionletVolatilityStructure::volatility(Time optionTime,
Rate strike,
bool extrapolate) const {
checkRange(optionTime, extrapolate);
checkStrike(strike, extrapolate);
return volatilityImpl(optionTime, strike);
}
inline boost::shared_ptr<SmileSection>
OptionletVolatilityStructure::smileSection(const Date& optionDate,
bool extrapolate) const {
checkRange(optionDate, extrapolate);
return smileSectionImpl(optionDate);
}
inline boost::shared_ptr<SmileSection>
OptionletVolatilityStructure::smileSection(Time optionTime,
bool extrapolate) const {
checkRange(optionTime, extrapolate);
return smileSectionImpl(optionTime);
}
// 4. default implementation of Date-based xxxImpl methods
// relying on the equivalent Time-based methods
inline boost::shared_ptr<SmileSection>
OptionletVolatilityStructure::smileSectionImpl(const Date& optionDate) const {
return smileSectionImpl(timeFromReference(optionDate));
}
inline Volatility
OptionletVolatilityStructure::volatilityImpl(const Date& optionDate,
Rate strike) const {
return volatilityImpl(timeFromReference(optionDate), strike);
}
}
#endif
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