volcube.hpp

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/* -*- 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.
*/
 
/*! \file volcube.hpp
    \brief Interest rate (optionlet/swaption) volatility cube
*/
 
#ifndef quantlib_volatility_cube_h
#define quantlib_volatility_cube_h
 
#include <ql/handle.hpp>
#include <ql/shared_ptr.hpp>
#include <vector>
 
namespace QuantLib {
 
    class Period;
    class AbcdAtmVolCurve;
    class InterestRateVolSurface;
    class InterestRateIndex;
 
    class VolatilityCube {
      public:
        VolatilityCube(std::vector<Handle<InterestRateVolSurface> >,
                       std::vector<Handle<AbcdAtmVolCurve> >);
        const Period& minIndexTenor() const;
        const Period& maxIndexTenor() const;
        const std::vector<Handle<InterestRateVolSurface> >& surfaces() const;
        const std::vector<Handle<AbcdAtmVolCurve> >& curves() const;
      protected:
        std::vector<Handle<InterestRateVolSurface> > surfaces_;
        std::vector<Handle<AbcdAtmVolCurve> > curves_;
    };
 
    // inline
 
    inline const std::vector<Handle<InterestRateVolSurface> >&
    VolatilityCube::surfaces() const {
        return surfaces_;
    }
 
    inline const std::vector<Handle<AbcdAtmVolCurve> >&
    VolatilityCube::curves() const {
        return curves_;
    }
 
}
 
#endif