| 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) 2014 Peter Caspers |
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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 | /*! \file noarbsabrsmilesection.hpp |
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| 21 | \brief no arbitrage sabr smile section |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_noarbsabr_smile_section_hpp |
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| 25 | #define quantlib_noarbsabr_smile_section_hpp |
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| 26 | |
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| 27 | #include <ql/termstructures/volatility/smilesection.hpp> |
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| 28 | #include <ql/time/daycounters/actual365fixed.hpp> |
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| 29 | #include <ql/experimental/volatility/noarbsabr.hpp> |
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| 30 | #include <vector> |
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| 31 | |
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| 32 | namespace QuantLib { |
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| 33 | |
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| 34 | class NoArbSabrSmileSection : public SmileSection { |
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| 35 | |
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| 36 | public: |
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| 37 | NoArbSabrSmileSection(Time timeToExpiry, |
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| 38 | Rate forward, |
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| 39 | std::vector<Real> sabrParameters, |
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| 40 | Real shift = 0.0, |
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| 41 | VolatilityType volatilityType = VolatilityType::ShiftedLognormal); |
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| 42 | NoArbSabrSmileSection(const Date& d, |
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| 43 | Rate forward, |
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| 44 | std::vector<Real> sabrParameters, |
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| 45 | const DayCounter& dc = Actual365Fixed(), |
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| 46 | Real shift = 0.0, |
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| 47 | VolatilityType volatilityType = VolatilityType::ShiftedLognormal); |
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| 48 | Real minStrike() const override { return 0.0; } |
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| 49 | Real maxStrike() const override { return QL_MAX_REAL; } |
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| 50 | Real atmLevel() const override { return forward_; } |
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| 51 | Real |
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| 52 | optionPrice(Rate strike, Option::Type type = Option::Call, Real discount = 1.0) const override; |
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| 53 | Real digitalOptionPrice(Rate strike, |
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| 54 | Option::Type type = Option::Call, |
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| 55 | Real discount = 1.0, |
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| 56 | Real gap = 1.0e-5) const override; |
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| 57 | Real density(Rate strike, Real discount = 1.0, Real gap = 1.0E-4) const override; |
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| 58 | |
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| 59 | ext::shared_ptr<NoArbSabrModel> model() { return model_; } |
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| 60 | |
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| 61 | protected: |
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| 62 | Volatility volatilityImpl(Rate strike) const override; |
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| 63 | |
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| 64 | private: |
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| 65 | void init(); |
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| 66 | ext::shared_ptr<NoArbSabrModel> model_; |
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| 67 | Rate forward_; |
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| 68 | std::vector<Real> params_; |
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| 69 | Real shift_; |
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| 70 | }; |
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| 71 | } |
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| 72 | |
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| 73 | #endif |
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| 74 | |
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