1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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
<https://www.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 atmsmilesection.hpp
\brief smile section that allows for explicit / alternate specification of
atm level
*/
#ifndef quantlib_atm_smile_section_hpp
#define quantlib_atm_smile_section_hpp
#include <ql/termstructures/volatility/smilesection.hpp>
namespace QuantLib {
class AtmSmileSection : public SmileSection {
public:
AtmSmileSection(const ext::shared_ptr<SmileSection>& source, Real atm = Null<Real>());
Real minStrike() const override { return source_->minStrike(); }
Real maxStrike() const override { return source_->maxStrike(); }
Real atmLevel() const override { return f_; }
const Date& exerciseDate() const override { return source_->exerciseDate(); }
Time exerciseTime() const override { return source_->exerciseTime(); }
const DayCounter& dayCounter() const override { return source_->dayCounter(); }
const Date& referenceDate() const override { return source_->referenceDate(); }
VolatilityType volatilityType() const override { return source_->volatilityType(); }
Rate shift() const override { return source_->shift(); }
protected:
Volatility volatilityImpl(Rate strike) const override {
return source_->volatility(strike);
}
Real varianceImpl(Rate strike) const override { return source_->variance(strike); }
private:
ext::shared_ptr<SmileSection> source_;
Real f_;
};
}
#endif
|
