| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|---|
| 2 | |
| 3 | /* |
| 4 | Copyright (C) 2013 Peter Caspers |
| 5 | |
| 6 | This file is part of QuantLib, a free-software/open-source library |
| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
| 8 | |
| 9 | QuantLib is free software: you can redistribute it and/or modify it |
| 10 | under the terms of the QuantLib license. You should have received a |
| 11 | copy of the license along with this program; if not, please email |
| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
| 13 | <http://quantlib.org/license.shtml>. |
| 14 | |
| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
| 18 | */ |
| 19 | |
| 20 | /*! \file atmsmilesection.hpp |
| 21 | \brief smile section that allows for explicit / alternate specification of |
| 22 | atm level |
| 23 | */ |
| 24 | |
| 25 | #ifndef quantlib_atm_smile_section_hpp |
| 26 | #define quantlib_atm_smile_section_hpp |
| 27 | |
| 28 | #include <ql/termstructures/volatility/smilesection.hpp> |
| 29 | |
| 30 | namespace QuantLib { |
| 31 | |
| 32 | class AtmSmileSection : public SmileSection { |
| 33 | |
| 34 | public: |
| 35 | AtmSmileSection(const ext::shared_ptr<SmileSection>& source, Real atm = Null<Real>()); |
| 36 | |
| 37 | Real minStrike() const override { return source_->minStrike(); } |
| 38 | Real maxStrike() const override { return source_->maxStrike(); } |
| 39 | Real atmLevel() const override { return f_; } |
| 40 | const Date& exerciseDate() const override { return source_->exerciseDate(); } |
| 41 | Time exerciseTime() const override { return source_->exerciseTime(); } |
| 42 | const DayCounter& dayCounter() const override { return source_->dayCounter(); } |
| 43 | const Date& referenceDate() const override { return source_->referenceDate(); } |
| 44 | VolatilityType volatilityType() const override { return source_->volatilityType(); } |
| 45 | Rate shift() const override { return source_->shift(); } |
| 46 | |
| 47 | protected: |
| 48 | Volatility volatilityImpl(Rate strike) const override { |
| 49 | return source_->volatility(strike); |
| 50 | } |
| 51 | Real varianceImpl(Rate strike) const override { return source_->variance(strike); } |
| 52 | |
| 53 | private: |
| 54 | ext::shared_ptr<SmileSection> source_; |
| 55 | Real f_; |
| 56 | }; |
| 57 | } |
| 58 | |
| 59 | #endif |
| 60 |