FixedLocalVolSurface::FixedLocalVolSurface(
const Date& referenceDate,
const std::vector<Time>& times,
const std::vector<Real>& strikes,
const boost::shared_ptr<Matrix>& localVolMatrix,
const DayCounter& dayCounter,
Extrapolation lowerExtrapolation,
Extrapolation upperExtrapolation)
: LocalVolTermStructure(
referenceDate, NullCalendar(), Following, dayCounter),
maxDate_(time2Date(referenceDate, dayCounter, times.back())),
times_(times),
localVolMatrix_(localVolMatrix),
strikes_(times.size(),boost::make_shared<std::vector<Real> >(strikes)),
localVolInterpol_(times.size()),
lowerExtrapolation_(lowerExtrapolation),
upperExtrapolation_(upperExtrapolation) {
QL_REQUIRE(times_[0]>=0, "cannot have times[0] < 0");
checkSurface();
setInterpolation<Linear>();
}
bool TimeRange::isInSameRange( const DateTime& start,
const DateTime& end,
const DateTime& time1,
const DateTime& time2 )
{
if( !isInRange( start, end, time1 ) ) return false;
if( !isInRange( start, end, time2 ) ) return false;
if( time1 == time2 ) return true;
if( start < end || start == end )
{
UtcDate time1Date( time1 );
UtcDate time2Date( time2 );
return time1Date == time2Date;
}
else
{
int sessionLength = DateTime::SECONDS_PER_DAY - (start - end);
if( time1 > time2 )
{
UtcTimeOnly time2TimeOnly = UtcTimeOnly(time2);
long delta = time2TimeOnly - start;
if( delta < 0 )
delta = DateTime::SECONDS_PER_DAY - labs(delta);
return (time1 - time2) < (sessionLength - delta);
}
else
{
return (time2 - time1) < sessionLength;
}
}
}