cpivolatilitystructure.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2009, 2011 Chris Kenyon
 
 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_cpi_volatility_structure_hpp
#define quantlib_cpi_volatility_structure_hpp
 
#include <ql/termstructures/voltermstructure.hpp>
 
namespace QuantLib {
 
 
    class CPIVolatilitySurface : public VolatilityTermStructure {
      public:
        CPIVolatilitySurface(Natural settlementDays,
                             const Calendar&,
                             BusinessDayConvention bdc,
                             const DayCounter& dc,
                             const Period& observationLag,
                             Frequency frequency,
                             bool indexIsInterpolated);
 
 
        Volatility volatility(const Date& maturityDate,
                              Rate strike,
                              const Period &obsLag = Period(-1,Days),
                              bool extrapolate = false) const;
        Volatility volatility(const Period& optionTenor,
                              Rate strike,
                              const Period &obsLag = Period(-1,Days),
                              bool extrapolate = false) const;
        Volatility volatility(Time time, Rate strike) const;
 
 
        virtual Volatility totalVariance(const Date& exerciseDate,
                                         Rate strike,
                                         const Period &obsLag = Period(-1,Days),
                                         bool extrapolate = false) const;
        virtual Volatility totalVariance(const Period& optionTenor,
                                         Rate strike,
                                         const Period &obsLag = Period(-1,Days),
                                         bool extrapolate = false) const;
 
 
 
        virtual Period observationLag() const { return observationLag_; }
        virtual Frequency frequency() const { return frequency_; }
        virtual bool indexIsInterpolated() const {
            return indexIsInterpolated_;
        }
        virtual Date baseDate() const;
        virtual Time timeFromBase(const Date &date,
                                  const Period& obsLag = Period(-1,Days)) const;
        // acts as zero time value for boostrapping
        virtual Volatility baseLevel() const {
            QL_REQUIRE(baseLevel_ != Null<Volatility>(),
                       "Base volatility, for baseDate(), not set.");
            return baseLevel_;
        }
 
 
 
        Real minStrike() const override = 0;
        Real maxStrike() const override = 0;
      protected:
        virtual void checkRange(const Date&, Rate strike, bool extrapolate) const;
        virtual void checkRange(Time, Rate strike, bool extrapolate) const;
 
        virtual Volatility volatilityImpl(Time length,
                                          Rate strike) const = 0;
 
        mutable Volatility baseLevel_;
        // so you do not need an index
        Period observationLag_;
        Frequency frequency_;
        bool indexIsInterpolated_;
    };
 
}
 
#endif