blackvoltermstructure.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2002, 2003 Ferdinando Ametrano
 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
 
 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_black_vol_term_structures_hpp
#define quantlib_black_vol_term_structures_hpp
 
#include <ql/termstructures/voltermstructure.hpp>
#include <ql/patterns/visitor.hpp>
 
namespace QuantLib {
 
 
    class BlackVolTermStructure : public VolatilityTermStructure {
      public:
 
        BlackVolTermStructure(BusinessDayConvention bdc = Following,
                              const DayCounter& dc = DayCounter());
        BlackVolTermStructure(const Date& referenceDate,
                              const Calendar& cal = Calendar(),
                              BusinessDayConvention bdc = Following,
                              const DayCounter& dc = DayCounter());
        BlackVolTermStructure(Natural settlementDays,
                              const Calendar&,
                              BusinessDayConvention bdc = Following,
                              const DayCounter& dc = DayCounter());
        ~BlackVolTermStructure() override = default;
 
 
        Volatility blackVol(const Date& maturity,
                            Real strike,
                            bool extrapolate = false) const;
        Volatility blackVol(Time maturity,
                            Real strike,
                            bool extrapolate = false) const;
        Real blackVariance(const Date& maturity,
                           Real strike,
                           bool extrapolate = false) const;
        Real blackVariance(Time maturity,
                           Real strike,
                           bool extrapolate = false) const;
        Volatility blackForwardVol(const Date& date1,
                                   const Date& date2,
                                   Real strike,
                                   bool extrapolate = false) const;
        Volatility blackForwardVol(Time time1,
                                   Time time2,
                                   Real strike,
                                   bool extrapolate = false) const;
        Real blackForwardVariance(const Date& date1,
                                  const Date& date2,
                                  Real strike,
                                  bool extrapolate = false) const;
        Real blackForwardVariance(Time time1,
                                  Time time2,
                                  Real strike,
                                  bool extrapolate = false) const;
 
        virtual void accept(AcyclicVisitor&);
      protected:
        virtual Real blackVarianceImpl(Time t, Real strike) const = 0;
        virtual Volatility blackVolImpl(Time t, Real strike) const = 0;
    };
 
 
    class BlackVolatilityTermStructure : public BlackVolTermStructure {
      public:
 
        BlackVolatilityTermStructure(BusinessDayConvention bdc = Following,
                                     const DayCounter& dc = DayCounter());
        BlackVolatilityTermStructure(const Date& referenceDate,
                                     const Calendar& cal = Calendar(),
                                     BusinessDayConvention bdc = Following,
                                     const DayCounter& dc = DayCounter());
        BlackVolatilityTermStructure(Natural settlementDays,
                                     const Calendar& cal,
                                     BusinessDayConvention bdc = Following,
                                     const DayCounter& dc = DayCounter());
 
        void accept(AcyclicVisitor&) override;
      protected:
        Real blackVarianceImpl(Time maturity, Real strike) const override;
    };
 
 
 
    class BlackVarianceTermStructure : public BlackVolTermStructure {
      public:
 
        BlackVarianceTermStructure(BusinessDayConvention bdc = Following,
                                   const DayCounter& dc = DayCounter());
        BlackVarianceTermStructure(const Date& referenceDate,
                                   const Calendar& cal = Calendar(),
                                   BusinessDayConvention bdc = Following,
                                   const DayCounter& dc = DayCounter());
        BlackVarianceTermStructure(Natural settlementDays,
                                   const Calendar&,
                                   BusinessDayConvention bdc = Following,
                                   const DayCounter& dc = DayCounter());
 
        void accept(AcyclicVisitor&) override;
      protected:
        Volatility blackVolImpl(Time t, Real strike) const override;
    };
 
 
 
    // inline definitions
 
    inline Volatility BlackVolTermStructure::blackVol(const Date& d,
                                                      Real strike,
                                                      bool extrapolate) const {
        checkRange(d, extrapolate);
        checkStrike(strike, extrapolate);
        Time t = timeFromReference(d);
        return blackVolImpl(t, strike);
    }
 
    inline Volatility BlackVolTermStructure::blackVol(Time t,
                                                      Real strike,
                                                      bool extrapolate) const {
        checkRange(t, extrapolate);
        checkStrike(strike, extrapolate);
        return blackVolImpl(t, strike);
    }
 
    inline Real BlackVolTermStructure::blackVariance(const Date& d,
                                                     Real strike,
                                                     bool extrapolate) const {
        checkRange(d, extrapolate);
        checkStrike(strike, extrapolate);
        Time t = timeFromReference(d);
        return blackVarianceImpl(t, strike);
    }
 
    inline Real BlackVolTermStructure::blackVariance(Time t,
                                                     Real strike,
                                                     bool extrapolate) const {
        checkRange(t, extrapolate);
        checkStrike(strike, extrapolate);
        return blackVarianceImpl(t, strike);
    }
 
    inline void BlackVolTermStructure::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<BlackVolTermStructure>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            QL_FAIL("not a Black-volatility term structure visitor");
    }
 
    inline
    Real BlackVolatilityTermStructure::blackVarianceImpl(Time t,
                                                         Real strike) const {
        Volatility vol = blackVolImpl(t, strike);
        return vol*vol*t;
    }
 
    inline void BlackVolatilityTermStructure::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<BlackVolatilityTermStructure>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            BlackVolTermStructure::accept(v);
    }
 
    inline
    Volatility BlackVarianceTermStructure ::blackVolImpl(Time t,
                                                         Real strike) const {
        Time nonZeroMaturity = (t==0.0 ? 0.00001 : t);
        Real var = blackVarianceImpl(nonZeroMaturity, strike);
        return std::sqrt(var/nonZeroMaturity);
    }
 
    inline void BlackVarianceTermStructure::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<BlackVarianceTermStructure>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            BlackVolTermStructure::accept(v);
    }
 
}
 
#endif