/*
Copyright (C) 2008 Richard Gomes
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
<jquant-devel@lists.sourceforge.net>. The license is also available online at
<http://www.jquantlib.org/index.php/LICENSE.TXT>.
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.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
/*
Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano
Copyright (C) 2003, 2004, 2005, 2006, 2007 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.
*/
package org.jquantlib.termstructures.volatilities;
import org.jquantlib.daycounters.DayCounter;
import org.jquantlib.quotes.Handle;
import org.jquantlib.quotes.Quote;
import org.jquantlib.quotes.SimpleQuote;
import org.jquantlib.termstructures.BlackVolatilityTermStructure;
import org.jquantlib.termstructures.TermStructure;
import org.jquantlib.time.BusinessDayConvention;
import org.jquantlib.time.Calendar;
import org.jquantlib.time.Date;
import org.jquantlib.util.TypedVisitor;
import org.jquantlib.util.Visitor;
/**
* Constant Black volatility, no time-strike dependence
* <p>
* This class implements the BlackVolatilityTermStructure
* interface for a constant Black volatility (no time/strike
* dependence).
*
* @author Richard Gomes
*/
public class BlackConstantVol extends BlackVolatilityTermStructure {
private final Handle<? extends Quote> volatility;
public BlackConstantVol(
final Date referenceDate,
final Calendar cal,
/*@Volatility*/ final double volatility,
final DayCounter dc) {
super(referenceDate, cal, BusinessDayConvention.Following, dc);
this.volatility = new Handle<Quote>(new SimpleQuote(volatility));
}
public BlackConstantVol(
final Date referenceDate,
final Calendar cal,
final Handle<? extends Quote> volatility,
final DayCounter dc) {
super(referenceDate, cal, BusinessDayConvention.Following, dc);
this.volatility = volatility;
this.volatility.addObserver(this);
}
public BlackConstantVol(
/*@Natural*/ final int settlementDays,
final Calendar cal,
/*@Volatility*/ final double volatility,
final DayCounter dc) {
super(settlementDays, cal, BusinessDayConvention.Following, dc);
this.volatility = new Handle<Quote>(new SimpleQuote(volatility));
}
public BlackConstantVol(
/*@Natural*/ final int settlementDays,
final Calendar cal,
final Handle<? extends Quote> volatility,
final DayCounter dc) {
super(settlementDays, cal, BusinessDayConvention.Following, dc);
this.volatility = volatility;
this.volatility.addObserver(this);
}
//
// Overrides TermStructure
//
@Override
public final Date maxDate() {
return Date.maxDate();
}
//
// Override BlackVolTermStructure
//
@Override
public final /*@Real*/ double minStrike() {
return Double.NEGATIVE_INFINITY;
}
@Override
public final /*@Real*/ double maxStrike() {
return Double.POSITIVE_INFINITY;
}
@Override
protected final /*@Volatility*/ double blackVolImpl(final /*@Time*/ double maturity, final /*@Real*/ double strike) {
return volatility.currentLink().value();
}
//
// implements TypedVisitable
//
@Override
public void accept(final TypedVisitor<TermStructure> v) {
final Visitor<TermStructure> v1 = (v!=null) ? v.getVisitor(this.getClass()) : null;
if (v1 != null) {
v1.visit(this);
} else {
super.accept(v);
}
}
}