/usr/include/ql/experimental/volatility/extendedblackvariancesurface.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2008 Frank Hövermann
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 extendedblackvariancesurface.hpp
\brief Black volatility surface modelled as variance surface
*/
#ifndef quantlib_extended_black_variance_surface_hpp
#define quantlib_extended_black_variance_surface_hpp
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/math/matrix.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/handle.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
//! Black volatility surface modelled as variance surface
/*! This class is similar to BlackVarianceSurface, but extends it
to use quotes for the input volatilities.
*/
class ExtendedBlackVarianceSurface : public BlackVarianceTermStructure {
public:
enum Extrapolation { ConstantExtrapolation,
InterpolatorDefaultExtrapolation };
ExtendedBlackVarianceSurface(
const Date& referenceDate,
const Calendar& calendar,
const std::vector<Date>& dates,
const std::vector<Real>& strikes,
const std::vector<Handle<Quote> >& volatilities,
const DayCounter& dayCounter,
Extrapolation lowerExtrapolation =
InterpolatorDefaultExtrapolation,
Extrapolation upperExtrapolation =
InterpolatorDefaultExtrapolation);
DayCounter dayCounter() const { return dayCounter_; }
Date maxDate() const { return maxDate_; }
Real minStrike() const { return strikes_.front(); }
Real maxStrike() const { return strikes_.back(); }
template <class Interpolator>
void setInterpolation(const Interpolator& i = Interpolator()) {
varianceSurface_ =
i.interpolate(times_.begin(), times_.end(),
strikes_.begin(), strikes_.end(),
variances_);
varianceSurface_.update();
notifyObservers();
}
void accept(AcyclicVisitor&);
void update();
private:
Real blackVarianceImpl(Time t, Real strike) const;
void setVariances();
DayCounter dayCounter_;
Date maxDate_;
const std::vector<Handle<Quote> >& volatilities_;
std::vector<Real> strikes_;
std::vector<Time> times_;
Matrix variances_;
Interpolation2D varianceSurface_;
Extrapolation lowerExtrapolation_, upperExtrapolation_;
};
inline void ExtendedBlackVarianceSurface::accept(AcyclicVisitor& v) {
Visitor<ExtendedBlackVarianceSurface>* v1 =
dynamic_cast<Visitor<ExtendedBlackVarianceSurface>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
BlackVarianceTermStructure::accept(v);
}
}
#endif
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