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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 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 blackvariancecurve.hpp
\brief Black volatility curve modelled as variance curve
*/
#ifndef quantlib_black_variance_curve_hpp
#define quantlib_black_variance_curve_hpp
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/math/interpolation.hpp>
namespace QuantLib {
//! Black volatility curve modelled as variance curve
/*! This class calculates time-dependent Black volatilities using
as input a vector of (ATM) Black volatilities observed in the
market.
The calculation is performed interpolating on the variance curve.
Linear interpolation is used as default; this can be changed
by the setInterpolation() method.
For strike dependence, see BlackVarianceSurface.
\todo check time extrapolation
*/
class BlackVarianceCurve : public BlackVarianceTermStructure {
public:
BlackVarianceCurve(const Date& referenceDate,
const std::vector<Date>& dates,
const std::vector<Volatility>& blackVolCurve,
DayCounter dayCounter,
bool forceMonotoneVariance = true);
//! \name TermStructure interface
//@{
DayCounter dayCounter() const override { return dayCounter_; }
Date maxDate() const override;
//@}
//! \name VolatilityTermStructure interface
//@{
Real minStrike() const override;
Real maxStrike() const override;
//@}
//! \name Modifiers
//@{
template <class Interpolator>
void setInterpolation(const Interpolator& i = Interpolator()) {
varianceCurve_ = i.interpolate(times_.begin(), times_.end(),
variances_.begin());
varianceCurve_.update();
notifyObservers();
}
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&) override;
//@}
protected:
Real blackVarianceImpl(Time t, Real) const override;
private:
DayCounter dayCounter_;
Date maxDate_;
std::vector<Time> times_;
std::vector<Real> variances_;
Interpolation varianceCurve_;
};
// inline definitions
inline Date BlackVarianceCurve::maxDate() const {
return maxDate_;
}
inline Real BlackVarianceCurve::minStrike() const {
return QL_MIN_REAL;
}
inline Real BlackVarianceCurve::maxStrike() const {
return QL_MAX_REAL;
}
inline void BlackVarianceCurve::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<BlackVarianceCurve>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
BlackVarianceTermStructure::accept(v);
}
}
#endif
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