callablebondconstantvol.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Allen Kuo
 
 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.
*/
 
#include <ql/experimental/callablebonds/callablebondconstantvol.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>
#include <utility>
 
namespace QuantLib {
 
    CallableBondConstantVolatility::CallableBondConstantVolatility(const Date& referenceDate,
                                                                   Volatility volatility,
                                                                   DayCounter dayCounter)
    : CallableBondVolatilityStructure(referenceDate),
      volatility_(ext::shared_ptr<Quote>(new SimpleQuote(volatility))),
      dayCounter_(std::move(dayCounter)), maxBondTenor_(100 * Years) {}
 
    CallableBondConstantVolatility::CallableBondConstantVolatility(const Date& referenceDate,
                                                                   Handle<Quote> volatility,
                                                                   DayCounter dayCounter)
    : CallableBondVolatilityStructure(referenceDate), volatility_(std::move(volatility)),
      dayCounter_(std::move(dayCounter)), maxBondTenor_(100 * Years) {
        registerWith(volatility_);
    }
 
    CallableBondConstantVolatility::CallableBondConstantVolatility(Natural settlementDays,
                                                                   const Calendar& calendar,
                                                                   Volatility volatility,
                                                                   DayCounter dayCounter)
    : CallableBondVolatilityStructure(settlementDays, calendar),
      volatility_(ext::shared_ptr<Quote>(new SimpleQuote(volatility))),
      dayCounter_(std::move(dayCounter)), maxBondTenor_(100 * Years) {}
 
    CallableBondConstantVolatility::CallableBondConstantVolatility(Natural settlementDays,
                                                                   const Calendar& calendar,
                                                                   Handle<Quote> volatility,
                                                                   DayCounter dayCounter)
    : CallableBondVolatilityStructure(settlementDays, calendar), volatility_(std::move(volatility)),
      dayCounter_(std::move(dayCounter)), maxBondTenor_(100 * Years) {
        registerWith(volatility_);
    }
 
    Volatility CallableBondConstantVolatility::volatilityImpl(const Date&,
                                                              const Period&,
                                                              Rate) const {
        return volatility_->value();
    }
 
    Volatility CallableBondConstantVolatility::volatilityImpl(
                                                     Time, Time, Rate) const {
        return volatility_->value();
    }
 
 
    ext::shared_ptr<SmileSection>
    CallableBondConstantVolatility::smileSectionImpl(Time optionTime,
                                                     Time) const {
        Volatility atmVol = volatility_->value();
        return ext::shared_ptr<SmileSection>(
                                    new FlatSmileSection(optionTime,
                                                         atmVol,
                                                         dayCounter_));
    }
 
}