1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
|
/* -*- 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/callablebondconstantvol.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>
#include <utility>
namespace QuantLib {
CallableBondConstantVolatility::CallableBondConstantVolatility(const Date& referenceDate,
Volatility volatility,
DayCounter dayCounter)
: CallableBondVolatilityStructure(referenceDate),
volatility_(ext::shared_ptr<Quote>(new SimpleQuote(volatility))),
dayCounter_(std::move(dayCounter)), maxBondTenor_(100 * Years) {}
CallableBondConstantVolatility::CallableBondConstantVolatility(const Date& referenceDate,
Handle<Quote> volatility,
DayCounter dayCounter)
: CallableBondVolatilityStructure(referenceDate), volatility_(std::move(volatility)),
dayCounter_(std::move(dayCounter)), maxBondTenor_(100 * Years) {
registerWith(volatility_);
}
CallableBondConstantVolatility::CallableBondConstantVolatility(Natural settlementDays,
const Calendar& calendar,
Volatility volatility,
DayCounter dayCounter)
: CallableBondVolatilityStructure(settlementDays, calendar),
volatility_(ext::shared_ptr<Quote>(new SimpleQuote(volatility))),
dayCounter_(std::move(dayCounter)), maxBondTenor_(100 * Years) {}
CallableBondConstantVolatility::CallableBondConstantVolatility(Natural settlementDays,
const Calendar& calendar,
Handle<Quote> volatility,
DayCounter dayCounter)
: CallableBondVolatilityStructure(settlementDays, calendar), volatility_(std::move(volatility)),
dayCounter_(std::move(dayCounter)), maxBondTenor_(100 * Years) {
registerWith(volatility_);
}
Volatility CallableBondConstantVolatility::volatilityImpl(const Date&,
const Period&,
Rate) const {
return volatility_->value();
}
Volatility CallableBondConstantVolatility::volatilityImpl(
Time, Time, Rate) const {
return volatility_->value();
}
ext::shared_ptr<SmileSection>
CallableBondConstantVolatility::smileSectionImpl(Time optionTime,
Time) const {
Volatility atmVol = volatility_->value();
return ext::shared_ptr<SmileSection>(
new FlatSmileSection(optionTime,
atmVol,
dayCounter_));
}
}
|
