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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Mario Pucci
Copyright (C) 2015 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 sabrsmilesection.hpp
\brief sabr smile section class
*/
#ifndef quantlib_sabr_smile_section_hpp
#define quantlib_sabr_smile_section_hpp
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <vector>
namespace QuantLib {
class SabrSmileSection : public SmileSection {
public:
SabrSmileSection(Time timeToExpiry,
Rate forward,
const std::vector<Real>& sabrParameters,
Real shift = 0.0,
VolatilityType volatilityType = VolatilityType::ShiftedLognormal);
SabrSmileSection(const Date& d,
Rate forward,
const std::vector<Real>& sabrParameters,
const Date& referenceDate = Date(),
const DayCounter& dc = Actual365Fixed(),
Real shift = 0.0,
VolatilityType volatilityType = VolatilityType::ShiftedLognormal);
Real minStrike() const override { return -shift_; }
Real maxStrike() const override { return QL_MAX_REAL; }
Real atmLevel() const override { return forward_; }
Real alpha() const { return alpha_; }
Real beta() const { return beta_; }
Real nu() const { return nu_; }
Real rho() const { return rho_; }
protected:
Real varianceImpl(Rate strike) const override;
Volatility volatilityImpl(Rate strike) const override;
private:
Real alpha_, beta_, nu_, rho_, forward_, shift_;
void initialise(const std::vector<Real>& sabrParameters);
};
}
#endif
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