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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Ferdinando Ametrano
Copyright (C) 2004, 2005, 2007 StatPro Italia srl
Copyright (C) 2015 Peter Caspers
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/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>
#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
#include <utility>
namespace QuantLib {
// floating reference date, floating market data
ConstantOptionletVolatility::ConstantOptionletVolatility(Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
Handle<Quote> vol,
const DayCounter& dc,
VolatilityType type,
Real displacement)
: OptionletVolatilityStructure(settlementDays, cal, bdc, dc), volatility_(std::move(vol)),
type_(type), displacement_(displacement) {
registerWith(volatility_);
}
// fixed reference date, floating market data
ConstantOptionletVolatility::ConstantOptionletVolatility(const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
Handle<Quote> vol,
const DayCounter& dc,
VolatilityType type,
Real displacement)
: OptionletVolatilityStructure(referenceDate, cal, bdc, dc), volatility_(std::move(vol)),
type_(type), displacement_(displacement) {
registerWith(volatility_);
}
// floating reference date, fixed market data
ConstantOptionletVolatility::ConstantOptionletVolatility(
Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc,
Volatility vol, const DayCounter &dc, VolatilityType type,
Real displacement)
: OptionletVolatilityStructure(settlementDays, cal, bdc, dc),
volatility_(ext::shared_ptr< Quote >(new SimpleQuote(vol))),
type_(type), displacement_(displacement) {}
// fixed reference date, fixed market data
ConstantOptionletVolatility::ConstantOptionletVolatility(
const Date &referenceDate, const Calendar &cal,
BusinessDayConvention bdc, Volatility vol, const DayCounter &dc,
VolatilityType type, Real displacement)
: OptionletVolatilityStructure(referenceDate, cal, bdc, dc),
volatility_(ext::shared_ptr< Quote >(new SimpleQuote(vol))),
type_(type), displacement_(displacement) {}
ext::shared_ptr<SmileSection>
ConstantOptionletVolatility::smileSectionImpl(const Date& d) const {
Volatility atmVol = volatility_->value();
return ext::shared_ptr<SmileSection>(new
FlatSmileSection(d, atmVol, dayCounter(), referenceDate()));
}
ext::shared_ptr<SmileSection>
ConstantOptionletVolatility::smileSectionImpl(Time optionTime) const {
Volatility atmVol = volatility_->value();
return ext::shared_ptr<SmileSection>(new
FlatSmileSection(optionTime, atmVol, dayCounter()));
}
Volatility ConstantOptionletVolatility::volatilityImpl(Time,
Rate) const {
return volatility_->value();
}
}
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