/usr/include/ql/experimental/volatility/blackvolsurface.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2002, 2003 Ferdinando Ametrano
Copyright (C) 2003, 2004, 2005, 2006 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
<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.
*/
/*! \file blackvolsurface.hpp
\brief Black volatility (smile) surface
*/
#ifndef quantlib_black_vol_surface_hpp
#define quantlib_black_vol_surface_hpp
#include <ql/experimental/volatility/blackatmvolcurve.hpp>
namespace QuantLib {
class SmileSection;
//! Black volatility (smile) surface
/*! This abstract class defines the interface of concrete
Black volatility (smile) surface which will
be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
*/
class BlackVolSurface : public BlackAtmVolCurve {
public:
/*! \name Constructors
See the TermStructure documentation for issues regarding
constructors.
*/
//@{
//! default constructor
/*! \warning term structures initialized by means of this
constructor must manage their own reference date
by overriding the referenceDate() method.
*/
BlackVolSurface(BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! initialize with a fixed reference date
BlackVolSurface(const Date& referenceDate,
const Calendar& cal = Calendar(),
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! calculate the reference date based on the global evaluation date
BlackVolSurface(Natural settlementDays,
const Calendar&,
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//@}
//! \name Black spot volatility
//@{
//! returns the smile for a given option tenor
boost::shared_ptr<SmileSection> smileSection(const Period&,
bool extrapolate) const;
//! returns the smile for a given option date
boost::shared_ptr<SmileSection> smileSection(const Date&,
bool extrapolate) const;
//! returns the smile for a given option time
boost::shared_ptr<SmileSection> smileSection(Time,
bool extrapolate) const;
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&);
//@}
protected:
//! \name BlackAtmVolCurve interface
//@{
//! spot at-the-money variance calculation
Real atmVarianceImpl(Time t) const;
//! spot at-the-money volatility calculation
Volatility atmVolImpl(Time t) const;
//@}
/*! \name Calculations
This method must be implemented in derived classes to perform
the actual volatility calculations. When it is called,
time check has already been performed; therefore, it must
assume that time-extrapolation is allowed.
*/
//@{
virtual boost::shared_ptr<SmileSection> smileSectionImpl(Time) const=0;
//@}
};
// inline definitions
inline boost::shared_ptr<SmileSection>
BlackVolSurface::smileSection(const Period& p,
bool extrapolate) const {
return smileSection(optionDateFromTenor(p), extrapolate);
}
inline boost::shared_ptr<SmileSection>
BlackVolSurface::smileSection(const Date& d,
bool extrapolate) const {
return smileSection(timeFromReference(d), extrapolate);
}
inline boost::shared_ptr<SmileSection>
BlackVolSurface::smileSection(Time t,
bool extrapolate) const {
checkRange(t, extrapolate);
return smileSectionImpl(t);
}
}
#endif
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