QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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volcube.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 Ferdinando Ametrano
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
23#include <utility>
24
25namespace QuantLib {
26
28 std::vector<Handle<AbcdAtmVolCurve> > curves)
29 : surfaces_(std::move(surfaces)), curves_(std::move(curves)) {
30 QL_REQUIRE(surfaces_.size()>1, "at least 2 surfaces are needed");
31
32 Date refDate = surfaces_[0]->referenceDate();
33 for (auto& surface : surfaces_) {
34 QL_REQUIRE(surface->referenceDate() == refDate, "different reference dates");
35 //curves_.push_back(surfaces_[i]);
36 }
37
38 for (auto& curve : curves_) {
39 QL_REQUIRE(curve->referenceDate() == refDate, "different reference dates");
40 }
41
42 // sort increasing index tenor
43 }
44}
Abcd-interpolated at-the-money (no-smile) interest rate vol curve.
Concrete date class.
Definition: date.hpp:125
Shared handle to an observable.
Definition: handle.hpp:41
std::vector< Handle< InterestRateVolSurface > > surfaces_
Definition: volcube.hpp:47
std::vector< Handle< AbcdAtmVolCurve > > curves_
Definition: volcube.hpp:48
VolatilityCube(std::vector< Handle< InterestRateVolSurface > >, std::vector< Handle< AbcdAtmVolCurve > >)
Definition: volcube.cpp:27
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Definition: errors.hpp:117
Interest rate volatility (smile) surface.
Definition: any.hpp:35
STL namespace.
Interest rate (optionlet/swaption) volatility cube.