/usr/include/ql/experimental/volatility/blackatmvolcurve.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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 blackatmvolcurve.hpp
\brief Black at-the-money (no-smile) volatility curve base class
*/
#ifndef quantlib_black_atm_vol_curve_hpp
#define quantlib_black_atm_vol_curve_hpp
#include <ql/termstructures/voltermstructure.hpp>
#include <ql/patterns/visitor.hpp>
namespace QuantLib {
//! Black at-the-money (no-smile) volatility curve
/*! This abstract class defines the interface of concrete
Black at-the-money (no-smile) volatility curves which will be
derived from this one.
Volatilities are assumed to be expressed on an annual basis.
*/
class BlackAtmVolCurve : public VolatilityTermStructure {
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.
*/
BlackAtmVolCurve(BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! initialize with a fixed reference date
BlackAtmVolCurve(const Date& referenceDate,
const Calendar& cal = Calendar(),
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! calculate the reference date based on the global evaluation date
BlackAtmVolCurve(Natural settlementDays,
const Calendar&,
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//@}
virtual ~BlackAtmVolCurve() {}
//! \name Black at-the-money spot volatility
//@{
//! spot at-the-money volatility
Volatility atmVol(const Period& optionTenor,
bool extrapolate = false) const;
//! spot at-the-money volatility
Volatility atmVol(const Date& maturity,
bool extrapolate = false) const;
//! spot at-the-money volatility
Volatility atmVol(Time maturity,
bool extrapolate = false) const;
//! spot at-the-money variance
Real atmVariance(const Period& optionTenor,
bool extrapolate = false) const;
//! spot at-the-money variance
Real atmVariance(const Date& maturity,
bool extrapolate = false) const;
//! spot at-the-money variance
Real atmVariance(Time maturity,
bool extrapolate = false) const;
//@}
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
protected:
/*! \name Calculations
These methods must be implemented in derived classes to perform
the actual volatility calculations. When they are called,
range check has already been performed; therefore, they must
assume that extrapolation is required.
*/
//@{
//! spot at-the-money variance calculation
virtual Real atmVarianceImpl(Time t) const = 0;
//! spot at-the-money volatility calculation
virtual Volatility atmVolImpl(Time t) const = 0;
//@}
};
}
#endif
|