/src/quantlib/ql/termstructures/volatility/equityfx/andreasenhugelocalvoladapter.cpp
Line | Count | Source (jump to first uncovered line) |
1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2017, 2018 Klaus Spanderen |
5 | | |
6 | | This file is part of QuantLib, a free-software/open-source library |
7 | | for financial quantitative analysts and developers - http://quantlib.org/ |
8 | | |
9 | | QuantLib is free software: you can redistribute it and/or modify it |
10 | | under the terms of the QuantLib license. You should have received a |
11 | | copy of the license along with this program; if not, please email |
12 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
13 | | <https://www.quantlib.org/license.shtml>. |
14 | | |
15 | | This program is distributed in the hope that it will be useful, but WITHOUT |
16 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
17 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
18 | | */ |
19 | | |
20 | | #include <ql/termstructures/volatility/equityfx/andreasenhugelocalvoladapter.hpp> |
21 | | #include <ql/termstructures/volatility/equityfx/andreasenhugevolatilityinterpl.hpp> |
22 | | #include <ql/termstructures/yieldtermstructure.hpp> |
23 | | #include <utility> |
24 | | |
25 | | namespace QuantLib { |
26 | | |
27 | | |
28 | | AndreasenHugeLocalVolAdapter::AndreasenHugeLocalVolAdapter( |
29 | | ext::shared_ptr<AndreasenHugeVolatilityInterpl> localVol) |
30 | 0 | : localVol_(std::move(localVol)) {}Unexecuted instantiation: QuantLib::AndreasenHugeLocalVolAdapter::AndreasenHugeLocalVolAdapter(boost::shared_ptr<QuantLib::AndreasenHugeVolatilityInterpl>) Unexecuted instantiation: QuantLib::AndreasenHugeLocalVolAdapter::AndreasenHugeLocalVolAdapter(boost::shared_ptr<QuantLib::AndreasenHugeVolatilityInterpl>) |
31 | | |
32 | 0 | Date AndreasenHugeLocalVolAdapter::maxDate() const { |
33 | 0 | return localVol_->maxDate(); |
34 | 0 | } |
35 | | |
36 | 0 | Real AndreasenHugeLocalVolAdapter::minStrike() const { |
37 | 0 | return 0.0; |
38 | 0 | } |
39 | | |
40 | 0 | Real AndreasenHugeLocalVolAdapter::maxStrike() const { |
41 | 0 | return QL_MAX_REAL; |
42 | 0 | } |
43 | | |
44 | | Volatility |
45 | 0 | AndreasenHugeLocalVolAdapter::localVolImpl(Time t, Real strike) const { |
46 | 0 | return localVol_->localVol(t, |
47 | 0 | std::min(localVol_->maxStrike(), |
48 | 0 | std::max(localVol_->minStrike(), strike))); |
49 | 0 | } |
50 | | |
51 | 0 | Calendar AndreasenHugeLocalVolAdapter::calendar() const { |
52 | 0 | return localVol_->riskFreeRate()->calendar(); |
53 | 0 | } |
54 | 0 | DayCounter AndreasenHugeLocalVolAdapter::dayCounter() const { |
55 | 0 | return localVol_->riskFreeRate()->dayCounter(); |
56 | 0 | } |
57 | 0 | const Date& AndreasenHugeLocalVolAdapter::referenceDate() const { |
58 | 0 | return localVol_->riskFreeRate()->referenceDate(); |
59 | 0 | } |
60 | 0 | Natural AndreasenHugeLocalVolAdapter::settlementDays() const { |
61 | 0 | return localVol_->riskFreeRate()->settlementDays(); |
62 | 0 | } |
63 | | } |