simplelocalestimator.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Joseph Wang
 
 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.
*/
 
/*! \file simplelocalestimator.hpp
    \brief Constant volatility estimator
*/
 
#ifndef quantlib_simple_local_estimator_hpp
#define quantlib_simple_local_estimator_hpp
 
#include <ql/volatilitymodel.hpp>
#include <map>
 
namespace QuantLib {
 
    //! Local-estimator volatility model
    /*! Volatilities are assumed to be expressed on an annual basis.
    */
    class SimpleLocalEstimator :
        public LocalVolatilityEstimator<Real> {
    private:
        Real yearFraction_;
      public:
        SimpleLocalEstimator(Real y) :
        yearFraction_(y) {}
        TimeSeries<Volatility> calculate(const TimeSeries<Real>& quoteSeries) override {
            TimeSeries<Volatility> retval;
            TimeSeries<Real>::const_iterator prev, next, cur, start;
            start = quoteSeries.begin();
            ++start;
            for (cur = start; cur != quoteSeries.end(); ++cur) {
                prev = cur; --prev;
                retval[cur->first] =
                    std::fabs(std::log(cur->second/prev->second))/
                    std::sqrt(yearFraction_);
            }
            return retval;
        }
    };
 
}
 
 
#endif