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/* -*- 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 atmadjustedsmilesection.hpp
\brief smile section that allows for alternate specification of atm level
and recentering the source volatility accordingly
*/
#ifndef quantlib_atm_adjusted_smile_section_hpp
#define quantlib_atm_adjusted_smile_section_hpp
#include <ql/termstructures/volatility/smilesection.hpp>
namespace QuantLib {
class AtmAdjustedSmileSection : public SmileSection {
public:
explicit AtmAdjustedSmileSection(const ext::shared_ptr<SmileSection>& source,
Real atm = Null<Real>(),
bool recenterSmile = false);
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(); }
Real optionPrice(Rate strike,
Option::Type type = Option::Call,
Real discount = 1.0) const override {
return source_->optionPrice(adjustedStrike(strike), type, discount);
}
Real digitalOptionPrice(Rate strike,
Option::Type type = Option::Call,
Real discount = 1.0,
Real gap = 1.0e-5) const override {
return source_->digitalOptionPrice(adjustedStrike(strike), type,
discount, gap);
}
Real vega(Rate strike, Real discount = 1.0) const override {
return source_->vega(adjustedStrike(strike), discount);
}
Real density(Rate strike, Real discount = 1.0, Real gap = 1.0E-4) const override {
return source_->density(adjustedStrike(strike), discount, gap);
}
protected:
Real varianceImpl(Rate strike) const override;
Volatility volatilityImpl(Rate strike) const override;
private:
Real adjustedStrike(Real strike) const;
ext::shared_ptr<SmileSection> source_;
Real adjustment_;
Real f_;
};
}
#endif
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