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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Ferdinando Ametrano
Copyright (C) 2007 Giorgio Facchinetti
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 spreadedswaptionvol.hpp
\brief Spreaded swaption volatility
*/
#ifndef quantlib_spreaded_swaption_volstructure_h
#define quantlib_spreaded_swaption_volstructure_h
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
namespace QuantLib {
class Quote;
class SpreadedSwaptionVolatility : public SwaptionVolatilityStructure {
public:
SpreadedSwaptionVolatility(const Handle<SwaptionVolatilityStructure>&,
Handle<Quote> spread);
// All virtual methods of base classes must be forwarded
//! \name TermStructure interface
//@{
DayCounter dayCounter() const override;
Date maxDate() const override;
Time maxTime() const override;
const Date& referenceDate() const override;
Calendar calendar() const override;
Natural settlementDays() const override;
//@}
//! \name VolatilityTermStructure interface
//@{
Rate minStrike() const override;
Rate maxStrike() const override;
//@}
//! \name SwaptionVolatilityStructure interface
//@{
const Period& maxSwapTenor() const override;
//@}
VolatilityType volatilityType() const override;
protected:
//! \name SwaptionVolatilityStructure interface
//@{
ext::shared_ptr<SmileSection> smileSectionImpl(const Date& optionDate,
const Period& swapTenor) const override;
ext::shared_ptr<SmileSection> smileSectionImpl(Time optionTime,
Time swapLength) const override;
Volatility
volatilityImpl(const Date& optionDate, const Period& swapTenor, Rate strike) const override;
Volatility volatilityImpl(Time optionTime, Time swapLength, Rate strike) const override;
Real shiftImpl(Time optionTime, Time swapLength) const override;
//@}
private:
const Handle<SwaptionVolatilityStructure> baseVol_;
const Handle<Quote> spread_;
};
inline DayCounter SpreadedSwaptionVolatility::dayCounter() const {
return baseVol_->dayCounter();
}
inline Date SpreadedSwaptionVolatility::maxDate() const {
return baseVol_->maxDate();
}
inline Time SpreadedSwaptionVolatility::maxTime() const {
return baseVol_->maxTime();
}
inline const Date& SpreadedSwaptionVolatility::referenceDate() const {
return baseVol_->referenceDate();
}
inline Calendar SpreadedSwaptionVolatility::calendar() const {
return baseVol_->calendar();
}
inline Natural SpreadedSwaptionVolatility::settlementDays() const {
return baseVol_->settlementDays();
}
inline Rate SpreadedSwaptionVolatility::minStrike() const {
return baseVol_->minStrike();
}
inline Rate SpreadedSwaptionVolatility::maxStrike() const {
return baseVol_->maxStrike();
}
inline const Period& SpreadedSwaptionVolatility::maxSwapTenor() const {
return baseVol_->maxSwapTenor();
}
inline Real SpreadedSwaptionVolatility::shiftImpl(Time optionTime,
Time swapLength) const {
return baseVol_->shift(optionTime, swapLength, true);
}
inline VolatilityType SpreadedSwaptionVolatility::volatilityType() const {
return baseVol_->volatilityType();
}
}
#endif
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