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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
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.
*/
/*! \file voltermstructure.hpp
\brief Volatility term structure
*/
#ifndef quantlib_vol_term_structure_hpp
#define quantlib_vol_term_structure_hpp
#include <ql/termstructure.hpp>
namespace QuantLib {
//! Volatility term structure
/*! This abstract class defines the interface of concrete
volatility structures which will be derived from this one.
*/
class VolatilityTermStructure : public TermStructure {
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.
*/
VolatilityTermStructure(BusinessDayConvention bdc,
const DayCounter& dc = DayCounter());
//! initialize with a fixed reference date
VolatilityTermStructure(const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc = DayCounter());
//! calculate the reference date based on the global evaluation date
VolatilityTermStructure(Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc = DayCounter());
//@}
//! the business day convention used in tenor to date conversion
virtual BusinessDayConvention businessDayConvention() const;
//! period/date conversion
Date optionDateFromTenor(const Period&) const;
//! the minimum strike for which the term structure can return vols
virtual Rate minStrike() const = 0;
//! the maximum strike for which the term structure can return vols
virtual Rate maxStrike() const = 0;
protected:
//! strike-range check
void checkStrike(Rate strike,
bool extrapolate) const;
private:
BusinessDayConvention bdc_;
};
// inline definitions
inline BusinessDayConvention
VolatilityTermStructure::businessDayConvention() const {
return bdc_;
}
inline Date
VolatilityTermStructure::optionDateFromTenor(const Period& p) const {
// swaption style
return calendar().advance(referenceDate(),
p,
businessDayConvention());
}
}
#endif
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