| 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) 2013, 2018 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 smilesectionutils.hpp |
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| 21 | \brief Additional utilities for smile sections |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_smile_section_utils_hpp |
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| 25 | #define quantlib_smile_section_utils_hpp |
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| 26 | |
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| 27 | #include <ql/termstructures/volatility/smilesection.hpp> |
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| 28 | #include <vector> |
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| 29 | |
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| 30 | namespace QuantLib { |
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| 31 | |
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| 32 | /*! smile-section utilities, the moneyness is expressed in |
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| 33 | - absolute terms for normal |
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| 34 | - relative terms for shifted lognormal |
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| 35 | volatility smile sections */ |
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| 36 | class SmileSectionUtils { |
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| 37 | public: |
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| 38 | SmileSectionUtils(const SmileSection& section, |
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| 39 | const std::vector<Real>& moneynessGrid = std::vector<Real>(), |
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| 40 | Real atm = Null<Real>(), |
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| 41 | bool deleteArbitragePoints = false); |
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| 42 | |
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| 43 | std::pair<Real, Real> arbitragefreeRegion() const; |
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| 44 | std::pair<Size, Size> arbitragefreeIndices() const; |
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| 45 | const std::vector<Real> &moneyGrid() const { return m_; } |
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| 46 | const std::vector<Real> &strikeGrid() const { return k_; } |
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| 47 | const std::vector<Real> &callPrices() const { return c_; } |
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| 48 | Real atmLevel() const { return f_; } |
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| 49 | |
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| 50 | private: |
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| 51 | bool af(Size i0, Size i, Size i1) const; |
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| 52 | std::vector<Real> m_, c_, k_; |
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| 53 | Size leftIndex_, rightIndex_; |
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| 54 | Real f_; |
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| 55 | }; |
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| 56 | } |
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| 57 | |
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| 58 | #endif |
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| 59 | |
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