QuantLib: a free/open-source library for quantitative finance
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capfloortermvolatilitystructure.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2002, 2003 RiskMap srl
5 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file capfloortermvolatilitystructure.hpp
22 \brief cap/floor term-volatility structure
23*/
24
25#ifndef quantlib_capfloor_volatility_structure_hpp
26#define quantlib_capfloor_volatility_structure_hpp
27
29
30namespace QuantLib {
31
32 //! Cap/floor term-volatility structure
33 /*! This class is purely abstract and defines the interface of concrete
34 structures which will be derived from this one.
35 */
37 public:
38 /*! \name Constructors
39 See the TermStructure documentation for issues regarding
40 constructors.
41 */
42 //@{
43 /*! \warning term structures initialized by means of this
44 constructor must manage their own reference date
45 by overriding the referenceDate() method.
46 */
48 const DayCounter& dc = DayCounter());
49 //! initialize with a fixed reference date
51 const Calendar& cal,
53 const DayCounter& dc = DayCounter());
54 //! calculate the reference date based on the global evaluation date
56 const Calendar&,
58 const DayCounter& dc = DayCounter());
59 //@}
61 //! \name Volatility
62 //@{
63 //! returns the volatility for a given cap/floor length and strike rate
64 Volatility volatility(const Period& length,
65 Rate strike,
66 bool extrapolate = false) const;
67 Volatility volatility(const Date& end,
68 Rate strike,
69 bool extrapolate = false) const;
70 //! returns the volatility for a given end time and strike rate
72 Rate strike,
73 bool extrapolate = false) const;
74 //@}
75 protected:
76 //! implements the actual volatility calculation in derived classes
78 Rate strike) const = 0;
79 };
80
81 // inline definitions
82
83 inline
85 Rate strike,
86 bool extrap) const {
88 return volatility(d, strike, extrap);
89 }
90
91 inline
93 Rate strike,
94 bool extrap) const {
95 checkRange(d, extrap);
97 return volatility(t, strike, extrap);
98 }
99
100 inline
102 Rate strike,
103 bool extrap) const {
104 checkRange(t, extrap);
105 checkStrike(strike, extrap);
106 return volatilityImpl(t, strike);
107 }
108
109}
110
111#endif
calendar class
Definition: calendar.hpp:61
virtual Volatility volatilityImpl(Time length, Rate strike) const =0
implements the actual volatility calculation in derived classes
Volatility volatility(const Period &length, Rate strike, bool extrapolate=false) const
returns the volatility for a given cap/floor length and strike rate
~CapFloorTermVolatilityStructure() override=default
Concrete date class.
Definition: date.hpp:125
day counter class
Definition: daycounter.hpp:44
virtual Natural settlementDays() const
the settlementDays used for reference date calculation
virtual const Date & referenceDate() const
the date at which discount = 1.0 and/or variance = 0.0
Time timeFromReference(const Date &date) const
date/time conversion
void checkRange(const Date &d, bool extrapolate) const
date-range check
Volatility term structure.
void checkStrike(Rate strike, bool extrapolate) const
strike-range check
Date optionDateFromTenor(const Period &) const
period/date conversion
const DefaultType & t
Date d
BusinessDayConvention
Business Day conventions.
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Real Volatility
volatility
Definition: types.hpp:78
Real Rate
interest rates
Definition: types.hpp:70
Definition: any.hpp:35
Volatility term structure.