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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2017, 2018 Klaus Spanderen
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/termstructures/volatility/equityfx/andreasenhugelocalvoladapter.hpp>
#include <ql/termstructures/volatility/equityfx/andreasenhugevolatilityinterpl.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>
namespace QuantLib {
AndreasenHugeLocalVolAdapter::AndreasenHugeLocalVolAdapter(
ext::shared_ptr<AndreasenHugeVolatilityInterpl> localVol)
: localVol_(std::move(localVol)) {}
Date AndreasenHugeLocalVolAdapter::maxDate() const {
return localVol_->maxDate();
}
Real AndreasenHugeLocalVolAdapter::minStrike() const {
return 0.0;
}
Real AndreasenHugeLocalVolAdapter::maxStrike() const {
return QL_MAX_REAL;
}
Volatility
AndreasenHugeLocalVolAdapter::localVolImpl(Time t, Real strike) const {
return localVol_->localVol(t,
std::min(localVol_->maxStrike(),
std::max(localVol_->minStrike(), strike)));
}
Calendar AndreasenHugeLocalVolAdapter::calendar() const {
return localVol_->riskFreeRate()->calendar();
}
DayCounter AndreasenHugeLocalVolAdapter::dayCounter() const {
return localVol_->riskFreeRate()->dayCounter();
}
const Date& AndreasenHugeLocalVolAdapter::referenceDate() const {
return localVol_->riskFreeRate()->referenceDate();
}
Natural AndreasenHugeLocalVolAdapter::settlementDays() const {
return localVol_->riskFreeRate()->settlementDays();
}
}
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