1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2013, 2018 Peter Caspers
5 
6  This file is part of QuantLib, a free-software/open-source library
7  for financial quantitative analysts and developers - http://quantlib.org/
8 
9  QuantLib is free software: you can redistribute it and/or modify it
10  under the terms of the QuantLib license.  You should have received a
11  copy of the license along with this program; if not, please email
12  <quantlib-dev@lists.sf.net>. The license is also available online at
13  <http://quantlib.org/license.shtml>.
14 
15  This program is distributed in the hope that it will be useful, but WITHOUT
16  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17  FOR A PARTICULAR PURPOSE.  See the license for more details.
18 */
19 
20 /*! \file smilesectionutils.hpp
21     \brief Additional utilities for smile sections
22 */
23 
24 #ifndef quantlib_smile_section_utils_hpp
25 #define quantlib_smile_section_utils_hpp
26 
27 #include <ql/termstructures/volatility/smilesection.hpp>
28 #include <ql/utilities/disposable.hpp>
29 #include <vector>
30 
31 namespace QuantLib {
32 
33     /*! smile-section utilities, the moneyness is expressed in
34         - absolute terms for normal
35         - relative terms for shifted lognormal
36         volatility smile sections */
37     class SmileSectionUtils {
38       public:
39         SmileSectionUtils(const SmileSection& section,
40                           const std::vector<Real>& moneynessGrid = std::vector<Real>(),
41                           Real atm = Null<Real>(),
42                           bool deleteArbitragePoints = false);
43 
44         std::pair<Real, Real> arbitragefreeRegion() const;
45         std::pair<Size, Size> arbitragefreeIndices() const;
moneyGrid() const46         const std::vector<Real> &moneyGrid() const { return m_; }
strikeGrid() const47         const std::vector<Real> &strikeGrid() const { return k_; }
callPrices() const48         const std::vector<Real> &callPrices() const { return c_; }
atmLevel() const49         Real atmLevel() const { return f_; }
50 
51       private:
52         bool af(Size i0, Size i, Size i1) const;
53         std::vector<Real> m_, c_, k_;
54         Size leftIndex_, rightIndex_;
55         Real f_;
56     };
57 }
58 
59 #endif
60