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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Ferdinando Ametrano
Copyright (C) 2006, 2007 StatPro Italia srl
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 swaptionconstantvol.hpp
\brief Constant swaption volatility
*/
#ifndef quantlib_swaption_constant_volatility_hpp
#define quantlib_swaption_constant_volatility_hpp
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
#include <ql/time/period.hpp>
namespace QuantLib {
class Quote;
//! Constant swaption volatility, no time-strike dependence
class ConstantSwaptionVolatility : public SwaptionVolatilityStructure {
public:
//! floating reference date, floating market data
ConstantSwaptionVolatility(Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
Handle<Quote> volatility,
const DayCounter& dc,
VolatilityType type = ShiftedLognormal,
Real shift = 0.0);
//! fixed reference date, floating market data
ConstantSwaptionVolatility(const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
Handle<Quote> volatility,
const DayCounter& dc,
VolatilityType type = ShiftedLognormal,
Real shift = 0.0);
//! floating reference date, fixed market data
ConstantSwaptionVolatility(Natural settlementDays,
const Calendar& cal,
BusinessDayConvention bdc,
Volatility volatility,
const DayCounter& dc,
VolatilityType type = ShiftedLognormal,
Real shift = 0.0);
//! fixed reference date, fixed market data
ConstantSwaptionVolatility(const Date& referenceDate,
const Calendar& cal,
BusinessDayConvention bdc,
Volatility volatility,
const DayCounter& dc,
VolatilityType type = ShiftedLognormal,
Real shift = 0.0);
//! \name TermStructure interface
//@{
Date maxDate() const override;
//@}
//! \name VolatilityTermStructure interface
//@{
Real minStrike() const override;
Real maxStrike() const override;
//@}
//! \name SwaptionVolatilityStructure interface
//@{
const Period& maxSwapTenor() const override;
//@}
//! volatility type
VolatilityType volatilityType() const override;
protected:
ext::shared_ptr<SmileSection> smileSectionImpl(const Date&, const Period&) const override;
ext::shared_ptr<SmileSection> smileSectionImpl(Time, Time) const override;
Volatility volatilityImpl(const Date&, const Period&, Rate) const override;
Volatility volatilityImpl(Time, Time, Rate) const override;
Real shiftImpl(Time optionTime, Time swapLength) const override;
private:
Handle<Quote> volatility_;
Period maxSwapTenor_;
VolatilityType volatilityType_;
Real shift_;
};
// inline definitions
inline Date ConstantSwaptionVolatility::maxDate() const {
return Date::maxDate();
}
inline Real ConstantSwaptionVolatility::minStrike() const {
return QL_MIN_REAL;
}
inline Real ConstantSwaptionVolatility::maxStrike() const {
return QL_MAX_REAL;
}
inline const Period& ConstantSwaptionVolatility::maxSwapTenor() const {
return maxSwapTenor_;
}
inline VolatilityType ConstantSwaptionVolatility::volatilityType() const {
return volatilityType_;
}
inline Real ConstantSwaptionVolatility::shiftImpl(Time optionTime, Time swapLength) const {
// consistency check
SwaptionVolatilityStructure::shiftImpl(optionTime, swapLength);
return shift_;
}
}
#endif
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