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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Ferdinando Ametrano
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.
*/
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
#include <ql/math/rounding.hpp>
namespace QuantLib {
SwaptionVolatilityStructure::SwaptionVolatilityStructure(
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: VolatilityTermStructure(bdc, dc) {
calendar_ = cal;
}
SwaptionVolatilityStructure::SwaptionVolatilityStructure(
BusinessDayConvention bdc,
const DayCounter& dc)
: VolatilityTermStructure(bdc, dc) {}
SwaptionVolatilityStructure::SwaptionVolatilityStructure(
const Date& referenceDate,
const Calendar& calendar,
BusinessDayConvention bdc,
const DayCounter& dc)
: VolatilityTermStructure(referenceDate, calendar, bdc, dc) {}
SwaptionVolatilityStructure::SwaptionVolatilityStructure(
Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention bdc,
const DayCounter& dc)
: VolatilityTermStructure(settlementDays, calendar, bdc, dc) {}
Time SwaptionVolatilityStructure::swapLength(const Period& p) const {
QL_REQUIRE(p.length()>0,
"non-positive swap tenor (" << p << ") given");
switch (p.units()) {
case Months:
return p.length()/12.0;
case Years:
return static_cast<Time>(p.length());
default:
QL_FAIL("invalid Time Unit (" << p.units() << ") for swap length");
}
}
Time SwaptionVolatilityStructure::swapLength(const Date& start,
const Date& end) const {
QL_REQUIRE(end>start, "swap end date (" << end <<
") must be greater than start (" << start << ")");
Time result = (end-start)/365.25*12.0; // month unit
result = ClosestRounding(0)(result);
result /= 12.0; // year unit
return result;
}
void SwaptionVolatilityStructure::checkSwapTenor(const Period& swapTenor,
bool extrapolate) const {
QL_REQUIRE(swapTenor.length() > 0,
"non-positive swap tenor (" << swapTenor << ") given");
QL_REQUIRE(extrapolate || allowsExtrapolation() ||
swapTenor <= maxSwapTenor(),
"swap tenor (" << swapTenor << ") is past max tenor ("
<< maxSwapTenor() << ")");
}
void SwaptionVolatilityStructure::checkSwapTenor(Time swapLength,
bool extrapolate) const {
QL_REQUIRE(swapLength > 0.0,
"non-positive swap length (" << swapLength << ") given");
QL_REQUIRE(extrapolate || allowsExtrapolation() ||
swapLength <= maxSwapLength(),
"swap tenor (" << swapLength << ") is past max tenor ("
<< maxSwapLength() << ")");
}
}
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