capflatvolvector.hpp

有很多的函数库

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005 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
 <[e-mail]>. 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.
*/

/*! \file capflatvolvector.hpp
    \brief Cap/floor at-the-money flat volatility vector
*/

#ifndef quantlib_cap_volatility_vector_hpp
#define quantlib_cap_volatility_vector_hpp

#include <ql/capvolstructures.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <vector>

namespace QuantLib {

    //! Cap/floor at-the-money term-volatility vector
    /*! This class provides the at-the-money volatility for a given
        cap by interpolating a volatility vector whose elements are
        the market volatilities of a set of caps/floors with given
        length.

        \todo either add correct copy behavior or inhibit copy. Right
              now, a copied instance would end up with its own copy of
              the length vector but an interpolation pointing to the
              original ones.
    */
    class CapVolatilityVector : public CapVolatilityStructure {
      public:
        CapVolatilityVector(const Date& settlementDate,
                            const std::vector<Period>& lengths,
                            const std::vector<Volatility>& volatilities,
                            const DayCounter& dayCounter);
        CapVolatilityVector(Natural settlementDays,
                            const Calendar& calendar,
                            const std::vector<Period>& lengths,
                            const std::vector<Volatility>& volatilities,
                            const DayCounter& dayCounter);
        // inspectors
        DayCounter dayCounter() const { return dayCounter_; }
        Date maxDate() const;
        Real minStrike() const;
        Real maxStrike() const;
        // observability
        void update();
      private:
        DayCounter dayCounter_;
        std::vector<Period> lengths_;
        std::vector<Time> timeLengths_;
        std::vector<Volatility> volatilities_;
        Interpolation interpolation_;
        void interpolate();
        Volatility volatilityImpl(Time length, Rate strike) const;
    };


    // inline definitions

    inline CapVolatilityVector::CapVolatilityVector(
                                          const Date& settlementDate,
                                          const std::vector<Period>& lengths,
                                          const std::vector<Volatility>& vols,
                                          const DayCounter& dayCounter)
    : CapVolatilityStructure(settlementDate),
      dayCounter_(dayCounter), lengths_(lengths),
      timeLengths_(lengths.size()+1), volatilities_(vols.size()+1) {
        QL_REQUIRE(lengths.size() == vols.size(),
                   "mismatch between number of cap lengths "
                   "and cap volatilities");
        volatilities_[0] = vols[0];
        std::copy(vols.begin(),vols.end(),volatilities_.begin()+1);
        interpolate();
    }

    inline CapVolatilityVector::CapVolatilityVector(
                                          Natural settlementDays,
                                          const Calendar& calendar,
                                          const std::vector<Period>& lengths,
                                          const std::vector<Volatility>& vols,
                                          const DayCounter& dayCounter)
    : CapVolatilityStructure(settlementDays,calendar),
      dayCounter_(dayCounter), lengths_(lengths),
      timeLengths_(lengths.size()+1), volatilities_(vols.size()+1) {
        QL_REQUIRE(lengths.size() == vols.size(),
                   "mismatch between number of cap lengths "
                   "and cap volatilities");
        volatilities_[0] = vols[0];
        std::copy(vols.begin(),vols.end(),volatilities_.begin()+1);
        interpolate();
    }

    inline Date CapVolatilityVector::maxDate() const {
        return referenceDate()+lengths_.back();
    }

    inline Real CapVolatilityVector::minStrike() const {
        return QL_MIN_REAL;
    }

    inline Real CapVolatilityVector::maxStrike() const {
        return QL_MAX_REAL;
    }

    inline void CapVolatilityVector::update() {
        CapVolatilityStructure::update();
        interpolate();
    }

    inline void CapVolatilityVector::interpolate() {
        timeLengths_[0] = 0.0;
        for (Size i=0; i<lengths_.size(); i++) {
            Date endDate = referenceDate() + lengths_[i];
            timeLengths_[i+1] = timeFromReference(endDate);
        }
        interpolation_ =
            LinearInterpolation(timeLengths_.begin(),
                                timeLengths_.end(),
                                volatilities_.begin());
        interpolation_.update();
    }

    inline Volatility CapVolatilityVector::volatilityImpl(
                                                    Time length, Rate) const {
        return interpolation_(length, true);
    }

}


#endif