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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009, 2011 Chris Kenyon
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 constantcpivolatility.hpp
\brief constant CPI volatility structure
*/
#ifndef quantlib_constant_cpi_volatility_hpp
#define quantlib_constant_cpi_volatility_hpp
#include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>
namespace QuantLib {
class Quote;
//! Constant surface, no K or T dependence.
class ConstantCPIVolatility : public CPIVolatilitySurface {
public:
//! \name Constructors
//@{
ConstantCPIVolatility(const Handle<Quote>& vol,
Natural settlementDays,
const Calendar&,
BusinessDayConvention bdc,
const DayCounter& dc,
const Period& observationLag,
Frequency frequency,
bool indexIsInterpolated);
ConstantCPIVolatility(Volatility vol,
Natural settlementDays,
const Calendar&,
BusinessDayConvention bdc,
const DayCounter& dc,
const Period& observationLag,
Frequency frequency,
bool indexIsInterpolated);
//@}
//! \name Limits
//@{
Date maxDate() const override { return Date::maxDate(); }
//! the minimum strike for which the term structure can return vols
Real minStrike() const override { return QL_MIN_REAL; }
//! the maximum strike for which the term structure can return vols
Real maxStrike() const override { return QL_MAX_REAL; }
//@}
private:
Volatility volatilityImpl(Time length, Rate strike) const override;
Handle<Quote> volatility_;
};
}
#endif
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