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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Allen Kuo
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
<https://www.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/experimental/callablebonds/callablebondvolstructure.hpp>
#include <ql/time/period.hpp>
namespace QuantLib {
CallableBondVolatilityStructure::CallableBondVolatilityStructure(
const DayCounter& dc,
BusinessDayConvention bdc)
: TermStructure(dc), bdc_(bdc) {}
CallableBondVolatilityStructure::CallableBondVolatilityStructure(
const Date& referenceDate,
const Calendar& calendar,
const DayCounter& dc,
BusinessDayConvention bdc)
: TermStructure(referenceDate, calendar, dc), bdc_(bdc) {}
CallableBondVolatilityStructure::CallableBondVolatilityStructure(
Natural settlementDays,
const Calendar& calendar,
const DayCounter& dc,
BusinessDayConvention bdc)
: TermStructure(settlementDays, calendar, dc), bdc_(bdc) {}
Time CallableBondVolatilityStructure::maxBondLength() const {
return timeFromReference(referenceDate()+maxBondTenor());
}
std::pair<Time,Time>
CallableBondVolatilityStructure::convertDates(
const Date& optionDate,
const Period& bondTenor) const {
Date end = optionDate + bondTenor;
QL_REQUIRE(end>optionDate,
"negative bond tenor (" << bondTenor << ") given");
Time optionTime = timeFromReference(optionDate);
Time timeLength = dayCounter().yearFraction(optionDate, end);
return std::make_pair(optionTime, timeLength);
}
void CallableBondVolatilityStructure::checkRange(const Date& optionDate,
const Period& bondTenor,
Rate k,
bool extrapolate) const {
TermStructure::checkRange(timeFromReference(optionDate),
extrapolate);
QL_REQUIRE(bondTenor.length() > 0,
"negative bond tenor (" << bondTenor << ") given");
QL_REQUIRE(extrapolate || allowsExtrapolation() ||
bondTenor <= maxBondTenor(),
"bond tenor (" << bondTenor << ") is past max tenor ("
<< maxBondTenor() << ")");
QL_REQUIRE(extrapolate || allowsExtrapolation() ||
(k >= minStrike() && k <= maxStrike()),
"strike (" << k << ") is outside the curve domain ["
<< minStrike() << "," << maxStrike()<< "]");
}
}
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