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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano
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 localconstantvol.hpp
\brief Local constant volatility, no time dependence, no asset dependence
*/
#ifndef quantlib_localconstantvol_hpp
#define quantlib_localconstantvol_hpp
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
#include <utility>
namespace QuantLib {
//! Constant local volatility, no time-strike dependence
/*! This class implements the LocalVolatilityTermStructure
interface for a constant local volatility (no time/asset
dependence). Local volatility and Black volatility are the
same when volatility is at most time dependent, so this class
is basically a proxy for BlackVolatilityTermStructure.
*/
class LocalConstantVol : public LocalVolTermStructure {
public:
LocalConstantVol(const Date& referenceDate, Volatility volatility, DayCounter dayCounter);
LocalConstantVol(const Date& referenceDate,
Handle<Quote> volatility,
DayCounter dayCounter);
LocalConstantVol(Natural settlementDays,
const Calendar&,
Volatility volatility,
DayCounter dayCounter);
LocalConstantVol(Natural settlementDays,
const Calendar&,
Handle<Quote> volatility,
DayCounter dayCounter);
//! \name TermStructure interface
//@{
DayCounter dayCounter() const override { return dayCounter_; }
Date maxDate() const override { return Date::maxDate(); }
//@}
//! \name VolatilityTermStructure interface
//@{
Real minStrike() const override { return QL_MIN_REAL; }
Real maxStrike() const override { return QL_MAX_REAL; }
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&) override;
//@}
private:
Volatility localVolImpl(Time, Real) const override;
Handle<Quote> volatility_;
DayCounter dayCounter_;
};
// inline definitions
inline LocalConstantVol::LocalConstantVol(const Date& referenceDate,
Volatility volatility,
DayCounter dayCounter)
: LocalVolTermStructure(referenceDate),
volatility_(ext::shared_ptr<Quote>(new SimpleQuote(volatility))),
dayCounter_(std::move(dayCounter)) {}
inline LocalConstantVol::LocalConstantVol(const Date& referenceDate,
Handle<Quote> volatility,
DayCounter dayCounter)
: LocalVolTermStructure(referenceDate), volatility_(std::move(volatility)),
dayCounter_(std::move(dayCounter)) {
registerWith(volatility_);
}
inline LocalConstantVol::LocalConstantVol(Natural settlementDays,
const Calendar& calendar,
Volatility volatility,
DayCounter dayCounter)
: LocalVolTermStructure(settlementDays, calendar),
volatility_(ext::shared_ptr<Quote>(new SimpleQuote(volatility))),
dayCounter_(std::move(dayCounter)) {}
inline LocalConstantVol::LocalConstantVol(Natural settlementDays,
const Calendar& calendar,
Handle<Quote> volatility,
DayCounter dayCounter)
: LocalVolTermStructure(settlementDays, calendar), volatility_(std::move(volatility)),
dayCounter_(std::move(dayCounter)) {
registerWith(volatility_);
}
inline void LocalConstantVol::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<LocalConstantVol>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
LocalVolTermStructure::accept(v);
}
inline Volatility LocalConstantVol::localVolImpl(Time, Real) const {
return volatility_->value();
}
}
#endif
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