QuantLib: a free/open-source library for quantitative finance
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localvoltermstructure.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2002, 2003 Ferdinando Ametrano
5 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file localvoltermstructure.hpp
22 \brief Local volatility term structure base class
23*/
24
25#ifndef quantlib_local_vol_term_structures_hpp
26#define quantlib_local_vol_term_structures_hpp
27
30
31namespace QuantLib {
32
33 /*! This abstract class defines the interface of concrete
34 local-volatility term structures which will be derived from this one.
35
36 Volatilities are assumed to be expressed on an annual basis.
37 */
39 public:
40 /*! \name Constructors
41 See the TermStructure documentation for issues regarding
42 constructors.
43 */
44 //@{
45 //! default constructor
46 /*! \warning term structures initialized by means of this
47 constructor must manage their own reference date
48 by overriding the referenceDate() method.
49 */
51 const DayCounter& dc = DayCounter());
52 //! initialize with a fixed reference date
54 const Calendar& cal = Calendar(),
56 const DayCounter& dc = DayCounter());
57 //! calculate the reference date based on the global evaluation date
59 const Calendar&,
61 const DayCounter& dc = DayCounter());
62 //@}
63 ~LocalVolTermStructure() override = default;
64 //! \name Local Volatility
65 //@{
67 Real underlyingLevel,
68 bool extrapolate = false) const;
70 Real underlyingLevel,
71 bool extrapolate = false) const;
72 //@}
73 //! \name Visitability
74 //@{
75 virtual void accept(AcyclicVisitor&);
76 //@}
77 protected:
78 /*! \name Calculations
79
80 These methods must be implemented in derived classes to perform
81 the actual volatility calculations. When they are called,
82 range check has already been performed; therefore, they must
83 assume that extrapolation is required.
84 */
85 //@{
86 //! local vol calculation
87 virtual Volatility localVolImpl(Time t, Real strike) const = 0;
88 //@}
89 };
90
91}
92
93#endif
degenerate base class for the Acyclic Visitor pattern
Definition: visitor.hpp:33
calendar class
Definition: calendar.hpp:61
Concrete date class.
Definition: date.hpp:125
day counter class
Definition: daycounter.hpp:44
virtual Volatility localVolImpl(Time t, Real strike) const =0
local vol calculation
virtual void accept(AcyclicVisitor &)
~LocalVolTermStructure() override=default
Volatility localVol(const Date &d, Real underlyingLevel, bool extrapolate=false) const
virtual Natural settlementDays() const
the settlementDays used for reference date calculation
virtual const Date & referenceDate() const
the date at which discount = 1.0 and/or variance = 0.0
Volatility term structure.
const DefaultType & t
Date d
BusinessDayConvention
Business Day conventions.
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Real Volatility
volatility
Definition: types.hpp:78
Definition: any.hpp:35
degenerate base class for the Acyclic Visitor pattern
Volatility term structure.