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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.
*/
#include <ql/experimental/volatility/interestratevolsurface.hpp>
#include <utility>
namespace QuantLib {
InterestRateVolSurface::InterestRateVolSurface(ext::shared_ptr<InterestRateIndex> index,
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackVolSurface(bdc, dc), index_(std::move(index)) {}
InterestRateVolSurface::InterestRateVolSurface(ext::shared_ptr<InterestRateIndex> index,
const Date& refDate,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackVolSurface(refDate, cal, bdc, dc), index_(std::move(index)) {}
InterestRateVolSurface::InterestRateVolSurface(ext::shared_ptr<InterestRateIndex> index,
Natural settlDays,
const Calendar& cal,
BusinessDayConvention bdc,
const DayCounter& dc)
: BlackVolSurface(settlDays, cal, bdc, dc), index_(std::move(index)) {}
Date InterestRateVolSurface::optionDateFromTenor(const Period& p) const {
ext::shared_ptr<InterestRateIndex> i = index();
// optionlet style
Date refDate = i->fixingCalendar().adjust(referenceDate(), Following);
Date settlement = i->valueDate(refDate);
Date start = settlement+p;
return i->fixingDate(start);
}
void InterestRateVolSurface::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<InterestRateVolSurface>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
BlackVolSurface::accept(v);
}
}
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