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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013, 2018 Peter Caspers
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file smilesectionutils.hpp
\brief Additional utilities for smile sections
*/
#ifndef quantlib_smile_section_utils_hpp
#define quantlib_smile_section_utils_hpp
#include <ql/termstructures/volatility/smilesection.hpp>
#include <vector>
namespace QuantLib {
/*! smile-section utilities, the moneyness is expressed in
- absolute terms for normal
- relative terms for shifted lognormal
volatility smile sections */
class SmileSectionUtils {
public:
SmileSectionUtils(const SmileSection& section,
const std::vector<Real>& moneynessGrid = std::vector<Real>(),
Real atm = Null<Real>(),
bool deleteArbitragePoints = false);
std::pair<Real, Real> arbitragefreeRegion() const;
std::pair<Size, Size> arbitragefreeIndices() const;
const std::vector<Real> &moneyGrid() const { return m_; }
const std::vector<Real> &strikeGrid() const { return k_; }
const std::vector<Real> &callPrices() const { return c_; }
Real atmLevel() const { return f_; }
private:
bool af(Size i0, Size i, Size i1) const;
std::vector<Real> m_, c_, k_;
Size leftIndex_, rightIndex_;
Real f_;
};
}
#endif
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