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 blackatmvolcurve.hpp
22 \brief Black at-the-money (no-smile) volatility curve base class
23*/
24
25#ifndef quantlib_black_atm_vol_curve_hpp
26#define quantlib_black_atm_vol_curve_hpp
27
28#include <ql/termstructures/voltermstructure.hpp>
29#include <ql/patterns/visitor.hpp>
30
31namespace QuantLib {
32
33 //! Black at-the-money (no-smile) volatility curve
34 /*! This abstract class defines the interface of concrete
35 Black at-the-money (no-smile) volatility curves which will be
36 derived from this one.
37
38 Volatilities are assumed to be expressed on an annual basis.
39 */
40 class BlackAtmVolCurve : public VolatilityTermStructure {
41 public:
42 /*! \name Constructors
43 See the TermStructure documentation for issues regarding
44 constructors.
45 */
46 //@{
47 //! default constructor
48 /*! \warning term structures initialized by means of this
49 constructor must manage their own reference date
50 by overriding the referenceDate() method.
51 */
52 BlackAtmVolCurve(BusinessDayConvention bdc = Following,
53 const DayCounter& dc = DayCounter());
54 //! initialize with a fixed reference date
55 BlackAtmVolCurve(const Date& referenceDate,
56 const Calendar& cal = Calendar(),
57 BusinessDayConvention bdc = Following,
58 const DayCounter& dc = DayCounter());
59 //! calculate the reference date based on the global evaluation date
60 BlackAtmVolCurve(Natural settlementDays,
61 const Calendar&,
62 BusinessDayConvention bdc = Following,
63 const DayCounter& dc = DayCounter());
64 //@}
65 ~BlackAtmVolCurve() override = default;
66 //! \name Black at-the-money spot volatility
67 //@{
68 //! spot at-the-money volatility
69 Volatility atmVol(const Period& optionTenor,
70 bool extrapolate = false) const;
71 //! spot at-the-money volatility
72 Volatility atmVol(const Date& maturity,
73 bool extrapolate = false) const;
74 //! spot at-the-money volatility
75 Volatility atmVol(Time maturity,
76 bool extrapolate = false) const;
77 //! spot at-the-money variance
78 Real atmVariance(const Period& optionTenor,
79 bool extrapolate = false) const;
80 //! spot at-the-money variance
81 Real atmVariance(const Date& maturity,
82 bool extrapolate = false) const;
83 //! spot at-the-money variance
84 Real atmVariance(Time maturity,
85 bool extrapolate = false) const;
86 //@}
87 //! \name Visitability
88 //@{
89 virtual void accept(AcyclicVisitor&);
90 //@}
91 protected:
92 /*! \name Calculations
93
94 These methods must be implemented in derived classes to perform
95 the actual volatility calculations. When they are called,
96 range check has already been performed; therefore, they must
97 assume that extrapolation is required.
98 */
99 //@{
100 //! spot at-the-money variance calculation
101 virtual Real atmVarianceImpl(Time t) const = 0;
102 //! spot at-the-money volatility calculation
103 virtual Volatility atmVolImpl(Time t) const = 0;
104 //@}
105 };
106
107}
108
109#endif
110

source code of quantlib/ql/experimental/volatility/blackatmvolcurve.hpp