equityfxvolsurface.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2002, 2003 Ferdinando Ametrano
 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
 
 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_equity_fx_vol_surface_hpp
#define quantlib_equity_fx_vol_surface_hpp
 
#include <ql/experimental/volatility/blackvolsurface.hpp>
 
namespace QuantLib {
 
 
    class EquityFXVolSurface : public BlackVolSurface {
      public:
 
        explicit EquityFXVolSurface(BusinessDayConvention bdc = Following,
                                    const DayCounter& dc = DayCounter());
        explicit EquityFXVolSurface(const Date& referenceDate,
                                    const Calendar& cal = Calendar(),
                                    BusinessDayConvention bdc = Following,
                                    const DayCounter& dc = DayCounter());
        EquityFXVolSurface(Natural settlementDays,
                           const Calendar&,
                           BusinessDayConvention bdc = Following,
                           const DayCounter& dc = DayCounter());
 
 
        Volatility atmForwardVol(const Date& date1,
                                 const Date& date2,
                                 bool extrapolate = false) const;
        Volatility atmForwardVol(Time time1,
                                 Time time2,
                                 bool extrapolate = false) const;
        Real atmForwardVariance(const Date& date1,
                                const Date& date2,
                                bool extrapolate = false) const;
        Real atmForwardVariance(Time time1,
                                Time time2,
                                bool extrapolate = false) const;
 
        void accept(AcyclicVisitor&) override;
    };
 
}
 
#endif