| 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 | Copyright (C) 2007 François du Vignaud |
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| 6 | Copyright (C) 2007 Giorgio Facchinetti |
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| 7 | Copyright (C) 2015 Peter Caspers |
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| 8 | |
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| 9 | This file is part of QuantLib, a free-software/open-source library |
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| 10 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 11 | |
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| 12 | QuantLib is free software: you can redistribute it and/or modify it |
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| 13 | under the terms of the QuantLib license. You should have received a |
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| 14 | copy of the license along with this program; if not, please email |
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| 15 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 16 | <http://quantlib.org/license.shtml>. |
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| 17 | |
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| 18 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 19 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 20 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 21 | */ |
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| 22 | |
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| 23 | /*! \file flatsmilesection.hpp |
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| 24 | \brief Flat SmileSection |
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| 25 | */ |
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| 26 | |
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| 27 | #ifndef quantlib_flat_smile_section_hpp |
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| 28 | #define quantlib_flat_smile_section_hpp |
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| 29 | |
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| 30 | #include <ql/termstructures/volatility/smilesection.hpp> |
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| 31 | |
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| 32 | namespace QuantLib { |
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| 33 | |
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| 34 | class FlatSmileSection : public SmileSection { |
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| 35 | public: |
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| 36 | FlatSmileSection(const Date& d, |
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| 37 | Volatility vol, |
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| 38 | const DayCounter& dc, |
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| 39 | const Date& referenceDate = Date(), |
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| 40 | Real atmLevel = Null<Rate>(), |
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| 41 | VolatilityType type = ShiftedLognormal, |
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| 42 | Real shift = 0.0); |
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| 43 | FlatSmileSection(Time exerciseTime, |
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| 44 | Volatility vol, |
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| 45 | const DayCounter& dc, |
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| 46 | Real atmLevel = Null<Rate>(), |
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| 47 | VolatilityType type = ShiftedLognormal, |
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| 48 | Real shift = 0.0); |
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| 49 | //@{ |
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| 50 | Real minStrike() const override; |
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| 51 | Real maxStrike() const override; |
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| 52 | Real atmLevel() const override; |
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| 53 | //@} |
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| 54 | protected: |
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| 55 | Volatility volatilityImpl(Rate) const override; |
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| 56 | |
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| 57 | private: |
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| 58 | Volatility vol_; |
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| 59 | Real atmLevel_; |
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| 60 | }; |
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| 61 | |
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| 62 | inline Real FlatSmileSection::minStrike () const { |
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| 63 | return QL_MIN_REAL - shift(); |
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| 64 | } |
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| 65 | |
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| 66 | inline Real FlatSmileSection::maxStrike () const { |
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| 67 | return QL_MAX_REAL; |
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| 68 | } |
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| 69 | |
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| 70 | inline Real FlatSmileSection::atmLevel() const { |
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| 71 | return atmLevel_; |
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| 72 | } |
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| 73 | |
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| 74 | inline Volatility FlatSmileSection::volatilityImpl(Rate) const { |
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| 75 | return vol_; |
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| 76 | } |
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| 77 | |
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| 78 | } |
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| 79 | |
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| 80 | #endif |
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| 81 | |
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