constantcpivolatility.cpp

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/*
 Copyright (C) 2022 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
#include <qle/termstructures/inflation/constantcpivolatility.hpp>
#include <qle/utilities/inflation.hpp>
 
namespace QuantExt {
 
ConstantCPIVolatility::ConstantCPIVolatility(const QuantLib::Volatility v, QuantLib::Natural settlementDays,
                                             const QuantLib::Calendar& cal, QuantLib::BusinessDayConvention bdc,
                                             const QuantLib::DayCounter& dc, const QuantLib::Period& observationLag,
                                             QuantLib::Frequency frequency, bool indexIsInterpolated,
                                             const QuantLib::Date& capFloorStartDate, QuantLib::VolatilityType volType,
                                             double displacement)
    : QuantExt::CPIVolatilitySurface(settlementDays, cal, bdc, dc, observationLag, frequency, indexIsInterpolated,
                                     capFloorStartDate, volType, displacement),
      constantVol_(v){}
 
QuantLib::Volatility ConstantCPIVolatility::volatilityImpl(QuantLib::Time length, QuantLib::Rate strike) const {
    return constantVol_;
};
 
QuantLib::Real ConstantCPIVolatility::atmStrike(const QuantLib::Date& maturity, const QuantLib::Period& obsLag) const {
    // Not relevant for constantCPIVolatiltiy;
    return 0.0;
};
 
} // namespace QuantExt