volatilities.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007, 2010 Ferdinando Ametrano
 Copyright (C) 2005, 2006 Eric Ehlers
 
 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.
*/
 
#ifndef qla_volatilities_hpp
#define qla_volatilities_hpp
 
#include <qlo/termstructures.hpp>
#include <qlo/smilesection.hpp>
#include <ql/time/businessdayconvention.hpp>
#include <ql/types.hpp>
 
namespace QuantLib {
    class BlackAtmVolCurve;
    class BlackVolTermStructure;
    class Calendar;
    class Date;
    class DayCounter;
    class InterestRateIndex;
    class Matrix;
    class Period;
    class SabrVolSurface;
}
 
namespace QuantLibAddin {
 
    class BlackConstantVol : public BlackVolTermStructure {
      public:
        BlackConstantVol(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const QuantLib::Date& settlementDate,
            const QuantLib::Calendar& cal,
            QuantLib::Volatility volatility,
            const QuantLib::DayCounter& dayCounter,
            bool permanent);
    };
 
    class BlackVarianceSurface : public BlackVolTermStructure {
      public:
        BlackVarianceSurface(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const QuantLib::Date& settlementDate,
            const QuantLib::Calendar& cal,
            const std::vector<QuantLib::Date>& dates,
            const std::vector<QuantLib::Rate>& strikes,
            const QuantLib::Matrix& vols,
            const QuantLib::DayCounter& dayCounter,
            bool permanent);
    };
 
    class AbcdAtmVolCurve: public BlackAtmVolCurve {
    public:
      AbcdAtmVolCurve(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            QuantLib::Natural settlementDays,
            const QuantLib::Calendar& cal,
            const std::vector<QuantLib::Period>& optionTenors,
            const std::vector<QuantLib::Handle<QuantLib::Quote> > & volatilities,
            const std::vector<bool> inclusionInInterpolationFlag,
            QuantLib::BusinessDayConvention bdc,
            const QuantLib::DayCounter& dc,
            bool permanent);
    };
 
    class SabrVolSurface : public InterestRateVolSurface {
      public:
        SabrVolSurface(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const boost::shared_ptr<QuantLib::InterestRateIndex>& index,
            const QuantLib::Handle<QuantLib::BlackAtmVolCurve>& blackAtmCurve,
            const std::vector<QuantLib::Period>& optionTenors,
            const std::vector<QuantLib::Spread>& atmRateSpreads,
            const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads,
            bool permanent);
        std::string atmCurve();
    };
 
    class SabrSmileSectionImpl : public SmileSection {
      public:
        SabrSmileSectionImpl(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const QuantLib::Handle<QuantLib::SabrVolSurface>& sabrVol,
            const QuantLib::Time& time,
            bool permanent);
    };
}
 
#endif