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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Ferdinando Ametrano
Copyright (C) 2007 Giorgio Facchinetti
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/swaption/spreadedswaptionvol.hpp>
#include <ql/termstructures/volatility/spreadedsmilesection.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
SpreadedSwaptionVolatility::SpreadedSwaptionVolatility(
const Handle<SwaptionVolatilityStructure>& baseVol,
const Handle<Quote>& spread)
: SwaptionVolatilityStructure(baseVol->businessDayConvention(),
baseVol->dayCounter()),
baseVol_(baseVol), spread_(spread) {
registerWith(baseVol_);
registerWith(spread_);
}
boost::shared_ptr<SmileSection>
SpreadedSwaptionVolatility::smileSectionImpl(const Date& d,
const Period& swapT) const {
boost::shared_ptr<SmileSection> baseSmile =
baseVol_->smileSection(d, swapT, true);
return boost::shared_ptr<SmileSection>(new
SpreadedSmileSection(baseSmile, spread_));
}
boost::shared_ptr<SmileSection>
SpreadedSwaptionVolatility::smileSectionImpl(Time optionTime,
Time swapLength) const {
boost::shared_ptr<SmileSection> baseSmile =
baseVol_->smileSection(optionTime, swapLength, true);
return boost::shared_ptr<SmileSection>(new
SpreadedSmileSection(baseSmile, spread_));
}
Volatility SpreadedSwaptionVolatility::volatilityImpl(const Date& d,
const Period& p,
Rate strike) const {
return baseVol_->volatility(d, p, strike, true) + spread_->value();
}
Volatility SpreadedSwaptionVolatility::volatilityImpl(Time t,
Time l,
Rate strike) const {
return baseVol_->volatility(t, l, strike, true) + spread_->value();
}
}
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