impliedvoltermstructure.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2003 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.
*/
 
#ifndef quantlib_implied_vol_term_structure_hpp
#define quantlib_implied_vol_term_structure_hpp
 
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <utility>
 
namespace QuantLib {
 
 
    class ImpliedVolTermStructure : public BlackVarianceTermStructure {
      public:
        ImpliedVolTermStructure(Handle<BlackVolTermStructure> origTS, const Date& referenceDate);
 
        DayCounter dayCounter() const override { return originalTS_->dayCounter(); }
        Date maxDate() const override;
 
        Real minStrike() const override;
        Real maxStrike() const override;
 
        void accept(AcyclicVisitor&) override;
      protected:
        Real blackVarianceImpl(Time t, Real strike) const override;
 
      private:
        Handle<BlackVolTermStructure> originalTS_;
    };
 
 
    // inline definitions
 
    inline ImpliedVolTermStructure::ImpliedVolTermStructure(
        Handle<BlackVolTermStructure> originalTS, const Date& referenceDate)
    : BlackVarianceTermStructure(referenceDate), originalTS_(std::move(originalTS)) {
        registerWith(originalTS_);
    }
 
    inline Date ImpliedVolTermStructure::maxDate() const {
        return originalTS_->maxDate();
    }
 
    inline Real ImpliedVolTermStructure::minStrike() const {
        return originalTS_->minStrike();
    }
 
    inline Real ImpliedVolTermStructure::maxStrike() const {
        return originalTS_->maxStrike();
    }
 
    inline void ImpliedVolTermStructure::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<ImpliedVolTermStructure>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            BlackVarianceTermStructure::accept(v);
    }
 
    inline Real ImpliedVolTermStructure::blackVarianceImpl(Time t,
                                                           Real strike) const {
        /* timeShift (and/or variance) variance at evaluation date
           cannot be cached since the original curve could change
           between invocations of this method */
        Time timeShift =
            dayCounter().yearFraction(originalTS_->referenceDate(),
                                      referenceDate());
        /* t is relative to the current reference date
           and needs to be converted to the time relative
           to the reference date of the original curve */
        return originalTS_->blackForwardVariance(timeShift,
                                                 timeShift+t,
                                                 strike,
                                                 true);
    }
 
}
 
#endif