blackvoltermstructure.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2002, 2003 Ferdinando Ametrano
 
 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/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
 
namespace QuantLib {
 
    BlackVolTermStructure::BlackVolTermStructure(BusinessDayConvention bdc,
                                                 const DayCounter& dc)
    : VolatilityTermStructure(bdc, dc) {}
 
    BlackVolTermStructure::BlackVolTermStructure(const Date& refDate,
                                                 const Calendar& cal,
                                                 BusinessDayConvention bdc,
                                                 const DayCounter& dc)
    : VolatilityTermStructure(refDate, cal, bdc, dc) {}
 
    BlackVolTermStructure::BlackVolTermStructure(Natural settlDays,
                                                 const Calendar& cal,
                                                 BusinessDayConvention bdc,
                                                 const DayCounter& dc)
    : VolatilityTermStructure(settlDays, cal, bdc, dc) {}
 
    Volatility BlackVolTermStructure::blackForwardVol(const Date& date1,
                                                      const Date& date2,
                                                      Real strike,
                                                      bool extrapolate) const {
        // (redundant) date-based checks
        QL_REQUIRE(date1 <= date2,
                   date1 << " later than " << date2);
        checkRange(date2, extrapolate);
 
        // using the time implementation
        Time time1 = timeFromReference(date1);
        Time time2 = timeFromReference(date2);
        return blackForwardVol(time1, time2, strike, extrapolate);
    }
 
    Volatility BlackVolTermStructure::blackForwardVol(Time time1,
                                                      Time time2,
                                                      Real strike,
                                                      bool extrapolate) const {
        QL_REQUIRE(time1 <= time2,
                   time1 << " later than " << time2);
        checkRange(time2, extrapolate);
        checkStrike(strike, extrapolate);
        if (time2==time1) {
            if (time1==0.0) {
                Time epsilon = 1.0e-5;
                Real var = blackVarianceImpl(epsilon, strike);
                return std::sqrt(var/epsilon);
            } else {
                Time epsilon = std::min<Time>(1.0e-5, time1);
                Real var1 = blackVarianceImpl(time1-epsilon, strike);
                Real var2 = blackVarianceImpl(time1+epsilon, strike);
                QL_ENSURE(var2>=var1,
                          "variances must be non-decreasing");
                return std::sqrt((var2-var1)/(2*epsilon));
            }
        } else {
            Real var1 = blackVarianceImpl(time1, strike);
            Real var2 = blackVarianceImpl(time2, strike);
            QL_ENSURE(var2 >= var1,
                      "variances must be non-decreasing");
            return std::sqrt((var2-var1)/(time2-time1));
        }
    }
 
    Real BlackVolTermStructure::blackForwardVariance(const Date& date1,
                                                     const Date& date2,
                                                     Real strike,
                                                     bool extrapolate)
                                                                      const {
        // (redundant) date-based checks
        QL_REQUIRE(date1 <= date2,
                   date1 << " later than " << date2);
        checkRange(date2, extrapolate);
 
        // using the time implementation
        Time time1 = timeFromReference(date1);
        Time time2 = timeFromReference(date2);
        return blackForwardVariance(time1, time2, strike, extrapolate);
    }
 
    Real BlackVolTermStructure::blackForwardVariance(Time time1,
                                                     Time time2,
                                                     Real strike,
                                                     bool extrapolate) const {
        QL_REQUIRE(time1 <= time2,
                   time1 << " later than " << time2);
        checkRange(time2, extrapolate);
        checkStrike(strike, extrapolate);
        Real v1 = blackVarianceImpl(time1, strike);
        Real v2 = blackVarianceImpl(time2, strike);
        QL_ENSURE(v2 >= v1,
                  "variances must be non-decreasing");
        return v2-v1;
    }
 
    BlackVolatilityTermStructure::BlackVolatilityTermStructure(
                                                    BusinessDayConvention bdc,
                                                    const DayCounter& dc)
    : BlackVolTermStructure(bdc, dc) {}
 
    BlackVolatilityTermStructure::BlackVolatilityTermStructure(
                                                    const Date& refDate,
                                                    const Calendar& cal,
                                                    BusinessDayConvention bdc,
                                                    const DayCounter& dc)
    : BlackVolTermStructure(refDate, cal, bdc, dc) {}
 
    BlackVolatilityTermStructure::BlackVolatilityTermStructure(
                                                    Natural settlementDays,
                                                    const Calendar& cal,
                                                    BusinessDayConvention bdc,
                                                    const DayCounter& dc)
    : BlackVolTermStructure(settlementDays, cal, bdc, dc) {}
 
    BlackVarianceTermStructure::BlackVarianceTermStructure(
                                                    BusinessDayConvention bdc,
                                                    const DayCounter& dc)
    : BlackVolTermStructure(bdc, dc) {}
 
    BlackVarianceTermStructure::BlackVarianceTermStructure(
                                                    const Date& refDate,
                                                    const Calendar& cal,
                                                    BusinessDayConvention bdc,
                                                    const DayCounter& dc)
    : BlackVolTermStructure(refDate, cal, bdc, dc) {}
 
    BlackVarianceTermStructure::BlackVarianceTermStructure(
                                                    Natural settlementDays,
                                                    const Calendar& cal,
                                                    BusinessDayConvention bdc,
                                                    const DayCounter& dc)
    : BlackVolTermStructure(settlementDays, cal, bdc, dc) {}
 
}