inline Real BlackVolTermStructure::blackVariance(Time t,
Real strike,
bool extrapolate) const {
checkRange(t, extrapolate);
checkStrike(strike, extrapolate);
return blackVarianceImpl(t, strike);
}
Volatility BlackVolTermStructure::blackForwardVol(Time time1,
Time time2,
Real strike,
bool extrapolate) const {
QL_REQUIRE(time1 <= time2,
time1 << " later than " << time2);
checkRange(time2, extrapolate);
checkStrike(strike, extrapolate);
if (time2==time1) {
if (time1==0.0) {
Time epsilon = 1.0e-5;
Real var = blackVarianceImpl(epsilon, strike);
return std::sqrt(var/epsilon);
} else {
Time epsilon = std::min<Time>(1.0e-5, time1);
Real var1 = blackVarianceImpl(time1-epsilon, strike);
Real var2 = blackVarianceImpl(time1+epsilon, strike);
QL_ENSURE(var2>=var1,
"variances must be non-decreasing");
return std::sqrt((var2-var1)/(2*epsilon));
}
} else {
Real var1 = blackVarianceImpl(time1, strike);
Real var2 = blackVarianceImpl(time2, strike);
QL_ENSURE(var2 >= var1,
"variances must be non-decreasing");
return std::sqrt((var2-var1)/(time2-time1));
}
}
inline Volatility BlackVolTermStructure::blackVol(Time t,
Real strike,
bool extrapolate) const {
checkRange(t, extrapolate);
checkStrike(strike, extrapolate);
return blackVolImpl(t, strike);
}
Volatility LocalVolTermStructure::localVol(Time t,
Real underlyingLevel,
bool extrapolate) const {
checkRange(t, extrapolate);
checkStrike(underlyingLevel, extrapolate);
return localVolImpl(t, underlyingLevel);
}
inline
Volatility CapFloorTermVolatilityStructure::volatility(Time t,
Rate strike,
bool extrap) const {
checkRange(t, extrap);
checkStrike(strike, extrap);
return volatilityImpl(t, strike);
}
inline Real BlackVolTermStructure::blackVariance(const Date& d,
Real strike,
bool extrapolate) const {
checkRange(d, extrapolate);
checkStrike(strike, extrapolate);
Time t = timeFromReference(d);
return blackVarianceImpl(t, strike);
}
inline Volatility
OptionletVolatilityStructure::volatility(Time optionTime,
Rate strike,
bool extrapolate) const {
checkRange(optionTime, extrapolate);
checkStrike(strike, extrapolate);
return volatilityImpl(optionTime, strike);
}
Volatility LocalVolTermStructure::localVol(const Date& d,
Real underlyingLevel,
bool extrapolate) const {
checkRange(d, extrapolate);
checkStrike(underlyingLevel, extrapolate);
Time t = timeFromReference(d);
return localVolImpl(t, underlyingLevel);
}
inline Volatility
SwaptionVolatilityStructure::volatility(Time optionTime,
Time swapLength,
Rate strike,
bool extrapolate) const {
checkSwapTenor(swapLength, extrapolate);
checkRange(optionTime, extrapolate);
checkStrike(strike, extrapolate);
return volatilityImpl(optionTime, swapLength, strike);
}
// 3. relying on xxxImpl methods
inline Volatility
SwaptionVolatilityStructure::volatility(const Date& optionDate,
const Period& swapTenor,
Rate strike,
bool extrapolate) const {
checkSwapTenor(swapTenor, extrapolate);
checkRange(optionDate, extrapolate);
checkStrike(strike, extrapolate);
return volatilityImpl(optionDate, swapTenor, strike);
}
inline Volatility
SwaptionVolatilityStructure::volatility(Time optionTime,
const Period& swapTenor,
Rate strike,
bool extrapolate) const {
checkSwapTenor(swapTenor, extrapolate);
checkRange(optionTime, extrapolate);
checkStrike(strike, extrapolate);
Time length = swapLength(swapTenor);
return volatilityImpl(optionTime, length, strike);
}
Real BlackVolTermStructure::blackForwardVariance(Time time1,
Time time2,
Real strike,
bool extrapolate) const {
QL_REQUIRE(time1 <= time2,
time1 << " later than " << time2);
checkRange(time2, extrapolate);
checkStrike(strike, extrapolate);
Real v1 = blackVarianceImpl(time1, strike);
Real v2 = blackVarianceImpl(time2, strike);
QL_ENSURE(v2 >= v1,
"variances must be non-decreasing");
return v2-v1;
}
