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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2015 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.
*/
/*! \file noexceptlocalvolsurface.hpp
\brief wrapper around Dupire local volatility surface,
which does not throw exception if local volatility becomes negative
*/
#ifndef quantlib_no_except_localvolsurface_hpp
#define quantlib_no_except_localvolsurface_hpp
#include <ql/termstructures/volatility/equityfx/localvolsurface.hpp>
namespace QuantLib {
class NoExceptLocalVolSurface : public LocalVolSurface {
public:
NoExceptLocalVolSurface(const Handle<BlackVolTermStructure>& blackTS,
const Handle<YieldTermStructure>& riskFreeTS,
const Handle<YieldTermStructure>& dividendTS,
const Handle<Quote>& underlying,
Real illegalLocalVolOverwrite)
: LocalVolSurface(blackTS, riskFreeTS, dividendTS, underlying),
illegalLocalVolOverwrite_(illegalLocalVolOverwrite) { }
NoExceptLocalVolSurface(const Handle<BlackVolTermStructure>& blackTS,
const Handle<YieldTermStructure>& riskFreeTS,
const Handle<YieldTermStructure>& dividendTS,
Real underlying,
Real illegalLocalVolOverwrite)
: LocalVolSurface(blackTS, riskFreeTS, dividendTS, underlying),
illegalLocalVolOverwrite_(illegalLocalVolOverwrite) { }
protected:
Volatility localVolImpl(Time t, Real s) const override {
Volatility vol;
try {
vol = LocalVolSurface::localVolImpl(t, s);
} catch (Error&) {
vol = illegalLocalVolOverwrite_;
}
return vol;
}
private:
const Real illegalLocalVolOverwrite_;
};
}
#endif
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