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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.
*/
/*! \file constantoptionletvol.hpp
\brief Constant caplet/floorlet volatility
*/
#ifndef quantlib_caplet_constant_volatility_hpp
#define quantlib_caplet_constant_volatility_hpp
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
namespace QuantLib {
class Quote;
//! Constant caplet volatility, no time-strike dependence
class ConstantOptionletVolatility : public OptionletVolatilityStructure {
public:
//! floating reference date, floating market data
ConstantOptionletVolatility(Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
Handle<Quote> volatility,
const DayCounter& dc,
VolatilityType type = ShiftedLognormal,
Real displacement = 0.0);
//! fixed reference date, floating market data
ConstantOptionletVolatility(const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
Handle<Quote> volatility,
const DayCounter& dc,
VolatilityType type = ShiftedLognormal,
Real displacement = 0.0);
//! floating reference date, fixed market data
ConstantOptionletVolatility(Natural settlementDays, const Calendar &cal,
BusinessDayConvention bdc,
Volatility volatility, const DayCounter &dc,
VolatilityType type = ShiftedLognormal,
Real displacement = 0.0);
//! fixed reference date, fixed market data
ConstantOptionletVolatility(const Date &referenceDate,
const Calendar &cal,
BusinessDayConvention bdc,
Volatility volatility, const DayCounter &dc,
VolatilityType type = ShiftedLognormal,
Real displacement = 0.0);
//! \name TermStructure interface
//@{
Date maxDate() const override;
//@}
//! \name VolatilityTermStructure interface
//@{
Real minStrike() const override;
Real maxStrike() const override;
//@}
VolatilityType volatilityType() const override;
Real displacement() const override;
protected:
ext::shared_ptr<SmileSection> smileSectionImpl(const Date& d) const override;
ext::shared_ptr<SmileSection> smileSectionImpl(Time) const override;
Volatility volatilityImpl(Time, Rate) const override;
private:
Handle<Quote> volatility_;
VolatilityType type_;
Real displacement_;
};
// inline definitions
inline Date ConstantOptionletVolatility::maxDate() const {
return Date::maxDate();
}
inline Real ConstantOptionletVolatility::minStrike() const {
return QL_MIN_REAL;
}
inline Real ConstantOptionletVolatility::maxStrike() const {
return QL_MAX_REAL;
}
inline VolatilityType
ConstantOptionletVolatility::volatilityType() const {
return type_;
}
inline Real ConstantOptionletVolatility::displacement() const {
return displacement_;
}
}
#endif
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