constantcpivolatility.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_constant_cpi_volatility_hpp
#define quantlib_constant_cpi_volatility_hpp
 
#include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>
 
namespace QuantLib {
 
    class Quote;
 
    class ConstantCPIVolatility : public CPIVolatilitySurface {
      public:
 
        ConstantCPIVolatility(const Handle<Quote>& vol,
                              Natural settlementDays,
                              const Calendar&,
                              BusinessDayConvention bdc,
                              const DayCounter& dc,
                              const Period& observationLag,
                              Frequency frequency,
                              bool indexIsInterpolated);
        ConstantCPIVolatility(Volatility vol,
                              Natural settlementDays,
                              const Calendar&,
                              BusinessDayConvention bdc,
                              const DayCounter& dc,
                              const Period& observationLag,
                              Frequency frequency,
                              bool indexIsInterpolated);
 
 
        Date maxDate() const override { return Date::maxDate(); }
        Real minStrike() const override { return QL_MIN_REAL; }
        Real maxStrike() const override { return QL_MAX_REAL; }
 
      private:
        Volatility volatilityImpl(Time length, Rate strike) const override;
        Handle<Quote> volatility_;
    };
 
}
 
#endif