constantoptionletvol.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Ferdinando Ametrano
 Copyright (C) 2004, 2005, 2007 StatPro Italia srl
 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.
*/
 
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>
#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
#include <utility>
 
namespace QuantLib {
 
    // floating reference date, floating market data
    ConstantOptionletVolatility::ConstantOptionletVolatility(Natural settlementDays,
                                                             const Calendar& cal,
                                                             BusinessDayConvention bdc,
                                                             Handle<Quote> vol,
                                                             const DayCounter& dc,
                                                             VolatilityType type,
                                                             Real displacement)
    : OptionletVolatilityStructure(settlementDays, cal, bdc, dc), volatility_(std::move(vol)),
      type_(type), displacement_(displacement) {
        registerWith(volatility_);
    }
 
    // fixed reference date, floating market data
    ConstantOptionletVolatility::ConstantOptionletVolatility(const Date& referenceDate,
                                                             const Calendar& cal,
                                                             BusinessDayConvention bdc,
                                                             Handle<Quote> vol,
                                                             const DayCounter& dc,
                                                             VolatilityType type,
                                                             Real displacement)
    : OptionletVolatilityStructure(referenceDate, cal, bdc, dc), volatility_(std::move(vol)),
      type_(type), displacement_(displacement) {
        registerWith(volatility_);
    }
 
    // floating reference date, fixed market data
    ConstantOptionletVolatility::ConstantOptionletVolatility(
        Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc,
        Volatility vol, const DayCounter &dc, VolatilityType type,
        Real displacement)
        : OptionletVolatilityStructure(settlementDays, cal, bdc, dc),
          volatility_(ext::shared_ptr< Quote >(new SimpleQuote(vol))),
          type_(type), displacement_(displacement) {}
 
    // fixed reference date, fixed market data
    ConstantOptionletVolatility::ConstantOptionletVolatility(
        const Date &referenceDate, const Calendar &cal,
        BusinessDayConvention bdc, Volatility vol, const DayCounter &dc,
        VolatilityType type, Real displacement)
        : OptionletVolatilityStructure(referenceDate, cal, bdc, dc),
          volatility_(ext::shared_ptr< Quote >(new SimpleQuote(vol))),
          type_(type), displacement_(displacement) {}
 
    ext::shared_ptr<SmileSection>
    ConstantOptionletVolatility::smileSectionImpl(const Date& d) const {
        Volatility atmVol = volatility_->value();
        return ext::shared_ptr<SmileSection>(new
            FlatSmileSection(d, atmVol, dayCounter(), referenceDate()));
    }
 
    ext::shared_ptr<SmileSection>
    ConstantOptionletVolatility::smileSectionImpl(Time optionTime) const {
        Volatility atmVol = volatility_->value();
        return ext::shared_ptr<SmileSection>(new
            FlatSmileSection(optionTime, atmVol, dayCounter()));
    }
 
    Volatility ConstantOptionletVolatility::volatilityImpl(Time,
                                                    Rate) const {
        return volatility_->value();
    }
 
}