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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Klaus Spanderen
Copyright (C) 2015 Peter Caspers
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 capletvariancecurve.hpp
\brief caplet variance curve
*/
#ifndef quantlib_caplet_variance_curve_hpp
#define quantlib_caplet_variance_curve_hpp
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>
namespace QuantLib {
class CapletVarianceCurve : public OptionletVolatilityStructure {
public:
CapletVarianceCurve(const Date &referenceDate,
const std::vector< Date > &dates,
const std::vector< Volatility > &capletVolCurve,
const DayCounter &dayCounter,
VolatilityType type = ShiftedLognormal,
Real displacement = 0.0);
//! \name TermStructure interface
//@{
DayCounter dayCounter() const override;
Date maxDate() const override;
//@}
Real minStrike() const override;
Real maxStrike() const override;
VolatilityType volatilityType() const override;
Real displacement() const override;
protected:
ext::shared_ptr<SmileSection> smileSectionImpl(Time t) const override;
Volatility volatilityImpl(Time t, Rate) const override;
private:
BlackVarianceCurve blackCurve_;
VolatilityType type_;
Real displacement_;
};
inline CapletVarianceCurve::CapletVarianceCurve(
const Date &referenceDate, const std::vector< Date > &dates,
const std::vector< Volatility > &capletVolCurve,
const DayCounter &dayCounter, VolatilityType type, Real displacement)
: OptionletVolatilityStructure(referenceDate, Calendar(), Following),
blackCurve_(referenceDate, dates, capletVolCurve, dayCounter, false),
type_(type), displacement_(displacement) {}
inline DayCounter CapletVarianceCurve::dayCounter() const {
return blackCurve_.dayCounter();
}
inline Date CapletVarianceCurve::maxDate() const {
return blackCurve_.maxDate();
}
inline Real CapletVarianceCurve::minStrike() const {
return blackCurve_.minStrike();
}
inline Real CapletVarianceCurve::maxStrike() const {
return blackCurve_.maxStrike();
}
inline ext::shared_ptr<SmileSection>
CapletVarianceCurve::smileSectionImpl(Time t) const {
// dummy strike
Volatility atmVol = blackCurve_.blackVol(t, 0.05, true);
return ext::make_shared<FlatSmileSection>(t, atmVol, dayCounter());
}
inline
Volatility CapletVarianceCurve::volatilityImpl(Time t, Rate r) const {
return blackCurve_.blackVol(t, r, true);
}
inline VolatilityType CapletVarianceCurve::volatilityType() const {
return type_;
}
inline Real CapletVarianceCurve::displacement() const {
return displacement_;
}
}
#endif
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