| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2007 Ferdinando Ametrano |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/termstructures/voltermstructure.hpp> |
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| 21 | |
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| 22 | namespace QuantLib { |
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| 23 | |
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| 24 | VolatilityTermStructure::VolatilityTermStructure(BusinessDayConvention bdc, |
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| 25 | const DayCounter& dc) |
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| 26 | : TermStructure(dc), bdc_(bdc) {} |
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| 27 | |
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| 28 | VolatilityTermStructure::VolatilityTermStructure(const Date& referenceDate, |
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| 29 | const Calendar& cal, |
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| 30 | BusinessDayConvention bdc, |
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| 31 | const DayCounter& dc) |
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| 32 | : TermStructure(referenceDate, cal, dc), bdc_(bdc) {} |
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| 33 | |
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| 34 | VolatilityTermStructure::VolatilityTermStructure(Natural settlementDays, |
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| 35 | const Calendar& cal, |
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| 36 | BusinessDayConvention bdc, |
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| 37 | const DayCounter& dc) |
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| 38 | : TermStructure(settlementDays, cal, dc), bdc_(bdc) {} |
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| 39 | |
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| 40 | void VolatilityTermStructure::checkStrike(Rate k, |
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| 41 | bool ) const { |
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| 42 | QL_REQUIRE(extrapolate || allowsExtrapolation() || |
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| 43 | (k >= minStrike() && k <= maxStrike()), |
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| 44 | "strike (" << k << ") is outside the curve domain [" |
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| 45 | << minStrike() << "," << maxStrike()<< "]" ); |
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| 46 | } |
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| 47 | |
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| 48 | } |
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| 49 | |
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