abcdvol.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006, 2007 Ferdinando Ametrano
 Copyright (C) 2006 Mark Joshi
 Copyright (C) 2005, 2006 Klaus Spanderen
 
 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_exp_corr_abcd_vol_hpp
#define quantlib_exp_corr_abcd_vol_hpp
 
#include <ql/models/marketmodels/marketmodel.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <ql/math/matrix.hpp>
#include <vector>
 
namespace QuantLib {
 
    class PiecewiseConstantCorrelation;
 
    class AbcdVol : public MarketModel {
      public:
        AbcdVol(Real a,
                Real b,
                Real c,
                Real d,
                const std::vector<Real>& ks,
                const ext::shared_ptr<PiecewiseConstantCorrelation>& corr,
                const EvolutionDescription& evolution,
                Size numberOfFactors,
                const std::vector<Rate>& initialRates,
                const std::vector<Spread>& displacements);
 
        const std::vector<Rate>& initialRates() const override;
        const std::vector<Spread>& displacements() const override;
        const EvolutionDescription& evolution() const override;
        Size numberOfRates() const override;
        Size numberOfFactors() const override;
        Size numberOfSteps() const override;
        const Matrix& pseudoRoot(Size i) const override;
      private:
        Size numberOfFactors_, numberOfRates_, numberOfSteps_;
        std::vector<Rate> initialRates_;
        std::vector<Spread> displacements_;
        EvolutionDescription evolution_;
        std::vector<Matrix> pseudoRoots_;
    };
 
    // inline
 
    inline const std::vector<Rate>& AbcdVol::initialRates() const {
        return initialRates_;
    }
 
    inline const std::vector<Spread>& AbcdVol::displacements() const {
        return displacements_;
    }
 
    inline const EvolutionDescription& AbcdVol::evolution() const {
        return evolution_;
    }
 
    inline Size AbcdVol::numberOfRates() const {
        return numberOfRates_;
    }
 
    inline Size AbcdVol::numberOfFactors() const {
        return numberOfFactors_;
    }
 
    inline Size AbcdVol::numberOfSteps() const {
        return numberOfSteps_;
    }
 
    inline const Matrix& AbcdVol::pseudoRoot(Size i) const {
        QL_REQUIRE(i<numberOfSteps_,
                   "the index " << i << " is invalid: it must be less than "
                   "number of steps (" << numberOfSteps_ << ")");
        return pseudoRoots_[i];
    }
}
 
#endif