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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano
Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
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 blackconstantvol.hpp
\brief Black constant volatility, no time dependence, no strike dependence
*/
#ifndef quantlib_blackconstantvol_hpp
#define quantlib_blackconstantvol_hpp
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <utility>
namespace QuantLib {
//! Constant Black volatility, no time-strike dependence
/*! This class implements the BlackVolatilityTermStructure
interface for a constant Black volatility (no time/strike
dependence).
*/
class BlackConstantVol : public BlackVolatilityTermStructure {
public:
BlackConstantVol(const Date& referenceDate,
const Calendar&,
Volatility volatility,
const DayCounter& dayCounter);
BlackConstantVol(const Date& referenceDate,
const Calendar&,
Handle<Quote> volatility,
const DayCounter& dayCounter);
BlackConstantVol(Natural settlementDays,
const Calendar&,
Volatility volatility,
const DayCounter& dayCounter);
BlackConstantVol(Natural settlementDays,
const Calendar&,
Handle<Quote> volatility,
const DayCounter& dayCounter);
//! \name TermStructure interface
//@{
Date maxDate() const override;
//@}
//! \name VolatilityTermStructure interface
//@{
Real minStrike() const override;
Real maxStrike() const override;
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&) override;
//@}
protected:
Volatility blackVolImpl(Time t, Real) const override;
private:
Handle<Quote> volatility_;
};
// inline definitions
inline BlackConstantVol::BlackConstantVol(const Date& referenceDate,
const Calendar& cal,
Volatility volatility,
const DayCounter& dc)
: BlackVolatilityTermStructure(referenceDate, cal, Following, dc),
volatility_(ext::shared_ptr<Quote>(new SimpleQuote(volatility))) {}
inline BlackConstantVol::BlackConstantVol(const Date& referenceDate,
const Calendar& cal,
Handle<Quote> volatility,
const DayCounter& dc)
: BlackVolatilityTermStructure(referenceDate, cal, Following, dc),
volatility_(std::move(volatility)) {
registerWith(volatility_);
}
inline BlackConstantVol::BlackConstantVol(Natural settlementDays,
const Calendar& cal,
Volatility volatility,
const DayCounter& dc)
: BlackVolatilityTermStructure(settlementDays, cal, Following, dc),
volatility_(ext::shared_ptr<Quote>(new SimpleQuote(volatility))) {}
inline BlackConstantVol::BlackConstantVol(Natural settlementDays,
const Calendar& cal,
Handle<Quote> volatility,
const DayCounter& dc)
: BlackVolatilityTermStructure(settlementDays, cal, Following, dc),
volatility_(std::move(volatility)) {
registerWith(volatility_);
}
inline Date BlackConstantVol::maxDate() const {
return Date::maxDate();
}
inline Real BlackConstantVol::minStrike() const {
return QL_MIN_REAL;
}
inline Real BlackConstantVol::maxStrike() const {
return QL_MAX_REAL;
}
inline void BlackConstantVol::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<BlackConstantVol>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
BlackVolatilityTermStructure::accept(v);
}
inline Volatility BlackConstantVol::blackVolImpl(Time, Real) const {
return volatility_->value();
}
}
#endif
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