public CapletVarianceCurve(Date referenceDate,
List <Date> dates,
List <double> capletVolCurve,
DayCounter dayCounter)
: base(referenceDate, new Calendar(), BusinessDayConvention.Following, new DayCounter())
{
blackCurve_ = new BlackVarianceCurve(referenceDate, dates, capletVolCurve, dayCounter, false);
}
public Handle <LocalVolTermStructure> localVolatility()
{
if (!updated_)
{
isStrikeIndependent_ = true;
// constant Black vol?
BlackConstantVol constVol = blackVolatility().link as BlackConstantVol;
if (constVol != null)
{
// ok, the local vol is constant too.
localVolatility_.linkTo(new LocalConstantVol(constVol.referenceDate(),
constVol.blackVol(0.0, x0_.link.value()),
constVol.dayCounter()));
updated_ = true;
return(localVolatility_);
}
// ok, so it's not constant. Maybe it's strike-independent?
BlackVarianceCurve volCurve = blackVolatility().link as BlackVarianceCurve;
if (volCurve != null)
{
// ok, we can use the optimized algorithm
localVolatility_.linkTo(new LocalVolCurve(new Handle <BlackVarianceCurve>(volCurve)));
updated_ = true;
return(localVolatility_);
}
// ok, so it's strike-dependent. Never mind.
localVolatility_.linkTo(new LocalVolSurface(blackVolatility_, riskFreeRate_, dividendYield_,
x0_.link.value()));
updated_ = true;
isStrikeIndependent_ = false;
return(localVolatility_);
}
else
{
return(localVolatility_);
}
}