localvoltermstructure.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_local_vol_term_structures_hpp
#define quantlib_local_vol_term_structures_hpp
 
#include <ql/termstructures/voltermstructure.hpp>
#include <ql/patterns/visitor.hpp>
 
namespace QuantLib {
 
    class LocalVolTermStructure : public VolatilityTermStructure {
      public:
 
        LocalVolTermStructure(BusinessDayConvention bdc = Following,
                              const DayCounter& dc = DayCounter());
        LocalVolTermStructure(const Date& referenceDate,
                              const Calendar& cal = Calendar(),
                              BusinessDayConvention bdc = Following,
                              const DayCounter& dc = DayCounter());
        LocalVolTermStructure(Natural settlementDays,
                              const Calendar&,
                              BusinessDayConvention bdc = Following,
                              const DayCounter& dc = DayCounter());
        ~LocalVolTermStructure() override = default;
 
        Volatility localVol(const Date& d,
                            Real underlyingLevel,
                            bool extrapolate = false) const;
        Volatility localVol(Time t,
                            Real underlyingLevel,
                            bool extrapolate = false) const;
 
        virtual void accept(AcyclicVisitor&);
      protected:
        virtual Volatility localVolImpl(Time t, Real strike) const = 0;
    };
 
}
 
#endif