QuantLib: a free/open-source library for quantitative finance
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constantcpivolatility.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2009, 2011 Chris Kenyon
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
20/*! \file constantcpivolatility.hpp
21 \brief constant CPI volatility structure
22 */
23
24#ifndef quantlib_constant_cpi_volatility_hpp
25#define quantlib_constant_cpi_volatility_hpp
26
28
29namespace QuantLib {
30
31 class Quote;
32
33 //! Constant surface, no K or T dependence.
35 public:
36 //! \name Constructors
37 //@{
40 const Calendar&,
42 const DayCounter& dc,
48 const Calendar&,
50 const DayCounter& dc,
54 //@}
55
56 //! \name Limits
57 //@{
58 Date maxDate() const override { return Date::maxDate(); }
59 //! the minimum strike for which the term structure can return vols
60 Real minStrike() const override { return QL_MIN_REAL; }
61 //! the maximum strike for which the term structure can return vols
62 Real maxStrike() const override { return QL_MAX_REAL; }
63 //@}
64
65 private:
66 Volatility volatilityImpl(Time length, Rate strike) const override;
68 };
69
70}
71
72#endif
73
zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
calendar class
Definition: calendar.hpp:61
Constant surface, no K or T dependence.
Real minStrike() const override
the minimum strike for which the term structure can return vols
Volatility volatilityImpl(Time length, Rate strike) const override
Date maxDate() const override
the latest date for which the curve can return values
Real maxStrike() const override
the maximum strike for which the term structure can return vols
Concrete date class.
Definition: date.hpp:125
static Date maxDate()
latest allowed date
Definition: date.cpp:771
day counter class
Definition: daycounter.hpp:44
Shared handle to an observable.
Definition: handle.hpp:41
virtual Natural settlementDays() const
the settlementDays used for reference date calculation
zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
Frequency
Frequency of events.
Definition: frequency.hpp:37
BusinessDayConvention
Business Day conventions.
#define QL_MAX_REAL
Definition: qldefines.hpp:176
#define QL_MIN_REAL
Definition: qldefines.hpp:175
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Real Volatility
volatility
Definition: types.hpp:78
Real Rate
interest rates
Definition: types.hpp:70
Definition: any.hpp:35