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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 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 svismilesection.hpp
\brief svi smile section
*/
#ifndef quantlib_svi_smile_section_hpp
#define quantlib_svi_smile_section_hpp
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <vector>
namespace QuantLib {
//! Stochastic Volatility Inspired Smile Section
/*! \test the correctness of the result is tested by checking it
against known good values.
*/
class SviSmileSection : public SmileSection {
public:
//! \name Constructors
//@{
/*! @param timeToExpiry Time to expiry
@param forward Forward price corresponding to the expiry date
@param sviParameters Expects SVI parameters as a vector composed of a, b, sigma, rho, m
*/
SviSmileSection(Time timeToExpiry, Rate forward, std::vector<Real> sviParameters);
/*! @param d Date of expiry
@param forward Forward price corresponding to the expiry date
@param sviParameters Expects SVI parameters as a vector composed of a, b, sigma, rho, m
@param dc Day count method used to compute the time to expiry
*/
SviSmileSection(const Date& d,
Rate forward,
std::vector<Real> sviParameters,
const DayCounter& dc = Actual365Fixed());
//@}
Real minStrike() const override { return 0.0; }
Real maxStrike() const override { return QL_MAX_REAL; }
Real atmLevel() const override { return forward_; }
protected:
Volatility volatilityImpl(Rate strike) const override;
private:
void init();
Rate forward_;
std::vector<Real> params_;
};
}
#endif
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