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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Mario Pucci
Copyright (C) 2013 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 smilesection.hpp
\brief Smile section base class
*/
#ifndef quantlib_smile_section_hpp
#define quantlib_smile_section_hpp
#include <ql/patterns/observable.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/utilities/null.hpp>
#include <ql/option.hpp>
namespace QuantLib {
//! interest rate volatility smile section
/*! This abstract class provides volatility smile section interface */
class SmileSection : public virtual Observable,
public virtual Observer {
public:
SmileSection(const Date& d,
const DayCounter& dc = DayCounter(),
const Date& referenceDate = Date());
SmileSection(Time exerciseTime,
const DayCounter& dc = DayCounter());
SmileSection() {}
virtual ~SmileSection() {}
virtual void update();
virtual Real minStrike() const = 0;
virtual Real maxStrike() const = 0;
Real variance(Rate strike) const;
Volatility volatility(Rate strike) const;
virtual Real atmLevel() const = 0;
const Date& exerciseDate() const { return exerciseDate_; }
const Date& referenceDate() const;
Time exerciseTime() const { return exerciseTime_; }
const DayCounter& dayCounter() const { return dc_; }
virtual Real optionPrice(Rate strike,
Option::Type type = Option::Call,
Real discount=1.0) const;
virtual Real digitalOptionPrice(Rate strike,
Option::Type type = Option::Call,
Real discount=1.0,
Real gap=1.0e-5) const;
virtual Real vega(Rate strike,
Real discount=1.0) const;
virtual Real density(Rate strike,
Real discount=1.0,
Real gap=1.0E-4) const;
protected:
virtual void initializeExerciseTime() const;
virtual Real varianceImpl(Rate strike) const;
virtual Volatility volatilityImpl(Rate strike) const = 0;
private:
bool isFloating_;
mutable Date referenceDate_;
Date exerciseDate_;
DayCounter dc_;
mutable Time exerciseTime_;
};
// inline definitions
inline Real SmileSection::variance(Rate strike) const {
return varianceImpl(strike);
}
inline Volatility SmileSection::volatility(Rate strike) const {
return volatilityImpl(strike);
}
inline const Date& SmileSection::referenceDate() const {
QL_REQUIRE(referenceDate_!=Date(),
"referenceDate not available for this instance");
return referenceDate_;
}
inline Real SmileSection::varianceImpl(Rate strike) const {
Volatility v = volatilityImpl(strike);
return v*v*exerciseTime();
}
}
#endif
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