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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
<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 spreadedsmilesection.hpp
\brief Spreaded SmileSection class
*/
#ifndef quantlib_spreaded_smile_section_hpp
#define quantlib_spreaded_smile_section_hpp
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/handle.hpp>
namespace QuantLib {
class Quote;
class SpreadedSmileSection : public SmileSection {
public:
SpreadedSmileSection(ext::shared_ptr<SmileSection>, Handle<Quote> spread);
//! \name SmileSection interface
//@{
Real minStrike() const override;
Real maxStrike() const override;
Real atmLevel() const override;
const Date& exerciseDate() const override;
Time exerciseTime() const override;
const DayCounter& dayCounter() const override;
const Date& referenceDate() const override;
VolatilityType volatilityType() const override;
Rate shift() const override;
//@}
//! \name LazyObject interface
//@{
void update() override { notifyObservers(); }
//@}
protected:
Volatility volatilityImpl(Rate strike) const override;
private:
const ext::shared_ptr<SmileSection> underlyingSection_;
const Handle<Quote> spread_;
};
inline Real SpreadedSmileSection::minStrike() const {
return underlyingSection_->minStrike();
}
inline Real SpreadedSmileSection::maxStrike() const {
return underlyingSection_->maxStrike();
}
inline Real SpreadedSmileSection::atmLevel() const {
return underlyingSection_->atmLevel();
}
inline const Date& SpreadedSmileSection::exerciseDate() const {
return underlyingSection_->exerciseDate();
}
inline Time SpreadedSmileSection::exerciseTime() const {
return underlyingSection_->exerciseTime();
}
inline const DayCounter& SpreadedSmileSection::dayCounter() const {
return underlyingSection_->dayCounter();
}
inline const Date& SpreadedSmileSection::referenceDate() const {
return underlyingSection_->referenceDate();
}
inline VolatilityType SpreadedSmileSection::volatilityType() const {
return underlyingSection_->volatilityType();
}
inline Rate SpreadedSmileSection::shift() const {
return underlyingSection_->shift();
}
}
#endif
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