interestratevolsurface.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 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.
*/
 
#ifndef quantlib_interest_rate_vol_surface_hpp
#define quantlib_interest_rate_vol_surface_hpp
 
#include <ql/experimental/volatility/blackvolsurface.hpp>
#include <ql/indexes/interestrateindex.hpp>
 
namespace QuantLib {
 
 
    class InterestRateVolSurface : public BlackVolSurface {
      public:
        explicit InterestRateVolSurface(ext::shared_ptr<InterestRateIndex>,
                                        BusinessDayConvention bdc = Following,
                                        const DayCounter& dc = DayCounter());
        InterestRateVolSurface(ext::shared_ptr<InterestRateIndex>,
                               const Date& referenceDate,
                               const Calendar& cal = Calendar(),
                               BusinessDayConvention bdc = Following,
                               const DayCounter& dc = DayCounter());
        InterestRateVolSurface(ext::shared_ptr<InterestRateIndex>,
                               Natural settlementDays,
                               const Calendar&,
                               BusinessDayConvention bdc = Following,
                               const DayCounter& dc = DayCounter());
 
 
        Date optionDateFromTenor(const Period&) const;
        const ext::shared_ptr<InterestRateIndex>& index() const;
 
        void accept(AcyclicVisitor&) override;
      protected:
        ext::shared_ptr<InterestRateIndex> index_;
    };
 
 
    // inline
 
    inline const ext::shared_ptr<InterestRateIndex>&
    InterestRateVolSurface::index() const {
        return index_;
    }
 
}
 
#endif