spreadedoptionletvol.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Ferdinando Ametrano
 Copyright (C) 2007 Giorgio Facchinetti
 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
 <http://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.
*/
 
#ifndef quantlib_spreaded_caplet_volstructure_h
#define quantlib_spreaded_caplet_volstructure_h
 
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
#include <ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp>
 
namespace QuantLib {
 
    class Quote;
 
    class SpreadedOptionletVolatility : public OptionletVolatilityStructure {
      public:
        SpreadedOptionletVolatility(const Handle<OptionletVolatilityStructure>&,
                                    Handle<Quote> spread);
        // All virtual methods of base classes must be forwarded
 
        BusinessDayConvention businessDayConvention() const override;
        Rate minStrike() const override;
        Rate maxStrike() const override;
 
        DayCounter dayCounter() const override;
        Date maxDate() const override;
        Time maxTime() const override;
        const Date& referenceDate() const override;
        Calendar calendar() const override;
        Natural settlementDays() const override;
        VolatilityType volatilityType() const override;
        Real displacement() const override;
 
      protected:
        // All virtual methods of base classes must be forwarded
 
        ext::shared_ptr<SmileSection> smileSectionImpl(const Date& d) const override;
        ext::shared_ptr<SmileSection> smileSectionImpl(Time optionT) const override;
        Volatility volatilityImpl(Time optionTime, Rate strike) const override;
      private:
        const Handle<OptionletVolatilityStructure> baseVol_;
        const Handle<Quote> spread_;
    };
 
    inline DayCounter SpreadedOptionletVolatility::dayCounter() const {
        return baseVol_->dayCounter();
    }
    
    inline Date SpreadedOptionletVolatility::maxDate() const {
        return baseVol_->maxDate();
    }
 
    inline Time SpreadedOptionletVolatility::maxTime() const {
        return baseVol_->maxTime();
    }
        
    inline const Date& SpreadedOptionletVolatility::referenceDate() const {
        return baseVol_->referenceDate();
    }
        
    inline Calendar SpreadedOptionletVolatility::calendar() const {
        return baseVol_->calendar();
    }
        
    inline Natural SpreadedOptionletVolatility::settlementDays() const {
        return baseVol_->settlementDays();
    }
 
    inline BusinessDayConvention
    SpreadedOptionletVolatility::businessDayConvention() const {
        return baseVol_->businessDayConvention();
    }
    
    inline Rate SpreadedOptionletVolatility::minStrike() const {
        return baseVol_->minStrike();
    }
    
    inline Rate SpreadedOptionletVolatility::maxStrike() const {
        return baseVol_->maxStrike();
    }
 
    inline VolatilityType
    SpreadedOptionletVolatility::volatilityType() const {
        return baseVol_->volatilityType();
    }
 
    inline Real SpreadedOptionletVolatility::displacement() const {
        return baseVol_->displacement();
    }
}
 
#endif