/usr/include/ql/experimental/volatility/extendedblackvariancecurve.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 extendedblackvariancecurve.hpp
\brief Black volatility curve modelled as variance curve
*/
#ifndef quantlib_extended_black_variance_curve_hpp
#define quantlib_extended_black_variance_curve_hpp
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/math/interpolation.hpp>
#include <ql/handle.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
//! Black volatility curve modelled as variance curve
/*! This class is similar to BlackVarianceCurve, but extends it to
use quotes for the input volatilities.
*/
class ExtendedBlackVarianceCurve : public BlackVarianceTermStructure {
public:
ExtendedBlackVarianceCurve(
const Date& referenceDate,
const std::vector<Date>& dates,
const std::vector<Handle<Quote> >& volatilities,
const DayCounter& dayCounter,
bool forceMonotoneVariance = true);
DayCounter dayCounter() const { return dayCounter_; }
Date maxDate() const;
Real minStrike() const;
Real maxStrike() const;
template <class Interpolator>
void setInterpolation(const Interpolator& i = Interpolator()) {
varianceCurve_ = i.interpolate(times_.begin(), times_.end(),
variances_.begin());
varianceCurve_.update();
notifyObservers();
}
void accept(AcyclicVisitor&);
void update();
private:
Real blackVarianceImpl(Time t, Real) const;
void setVariances();
DayCounter dayCounter_;
Date maxDate_;
std::vector<Handle<Quote> > volatilities_;
std::vector<Time> times_;
std::vector<Real> variances_;
Interpolation varianceCurve_;
bool forceMonotoneVariance_;
};
inline Date ExtendedBlackVarianceCurve::maxDate() const {
return maxDate_;
}
inline Real ExtendedBlackVarianceCurve::minStrike() const {
return QL_MIN_REAL;
}
inline Real ExtendedBlackVarianceCurve::maxStrike() const {
return QL_MAX_REAL;
}
inline void ExtendedBlackVarianceCurve::accept(AcyclicVisitor& v) {
Visitor<ExtendedBlackVarianceCurve>* v1 =
dynamic_cast<Visitor<ExtendedBlackVarianceCurve>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
BlackVarianceTermStructure::accept(v);
}
}
#endif
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