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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Mario Pucci
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.
*/
#include <ql/termstructures/volatility/sabrsmilesection.hpp>
#include <ql/termstructures/volatility/sabr.hpp>
#include <ql/utilities/dataformatters.hpp>
namespace QuantLib {
SabrSmileSection::SabrSmileSection(Time timeToExpiry,
Rate forward,
const std::vector<Real>& sabrParams)
: SmileSection(timeToExpiry), forward_(forward) {
alpha_ = sabrParams[0];
beta_ = sabrParams[1];
nu_ = sabrParams[2];
rho_ = sabrParams[3];
QL_REQUIRE(forward_>0.0, "at the money forward rate must be "
"positive: " << io::rate(forward_) << " not allowed");
validateSabrParameters(alpha_, beta_, nu_, rho_);
}
SabrSmileSection::SabrSmileSection(const Date& d,
Rate forward,
const std::vector<Real>& sabrParams,
const DayCounter& dc)
: SmileSection(d, dc), forward_(forward) {
alpha_ = sabrParams[0];
beta_ = sabrParams[1];
nu_ = sabrParams[2];
rho_ = sabrParams[3];
QL_REQUIRE(forward_>0.0, "at the money forward rate must be "
"positive: " << io::rate(forward_) << " not allowed");
validateSabrParameters(alpha_, beta_, nu_, rho_);
}
Real SabrSmileSection::varianceImpl(Rate strike) const {
strike = std::max(0.00001,strike);
Volatility vol = unsafeSabrVolatility(strike, forward_,
exerciseTime(), alpha_, beta_, nu_, rho_);
return vol*vol*exerciseTime();
}
Real SabrSmileSection::volatilityImpl(Rate strike) const {
strike = std::max(0.00001,strike);
return unsafeSabrVolatility(strike, forward_,
exerciseTime(), alpha_, beta_, nu_, rho_);
}
}
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