QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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voltermstructure.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 Ferdinando Ametrano
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
21
22namespace QuantLib {
23
25 const DayCounter& dc)
26 : TermStructure(dc), bdc_(bdc) {}
27
29 const Calendar& cal,
31 const DayCounter& dc)
32 : TermStructure(referenceDate, cal, dc), bdc_(bdc) {}
33
35 const Calendar& cal,
37 const DayCounter& dc)
38 : TermStructure(settlementDays, cal, dc), bdc_(bdc) {}
39
41 bool extrapolate) const {
42 QL_REQUIRE(extrapolate || allowsExtrapolation() ||
43 (k >= minStrike() && k <= maxStrike()),
44 "strike (" << k << ") is outside the curve domain ["
45 << minStrike() << "," << maxStrike()<< "]");
46 }
47
48}
calendar class
Definition: calendar.hpp:61
Concrete date class.
Definition: date.hpp:125
day counter class
Definition: daycounter.hpp:44
bool allowsExtrapolation() const
tells whether extrapolation is enabled
Basic term-structure functionality.
virtual Rate maxStrike() const =0
the maximum strike for which the term structure can return vols
VolatilityTermStructure(BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
virtual Rate minStrike() const =0
the minimum strike for which the term structure can return vols
void checkStrike(Rate strike, bool extrapolate) const
strike-range check
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Definition: errors.hpp:117
BusinessDayConvention
Business Day conventions.
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Real Rate
interest rates
Definition: types.hpp:70
Definition: any.hpp:35
Volatility term structure.