1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2013 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 atmadjustedsmilesection.hpp
21     \brief smile section that allows for alternate specification of atm level
22    and recentering the source volatility accordingly
23 */
24 
25 #ifndef quantlib_atm_adjusted_smile_section_hpp
26 #define quantlib_atm_adjusted_smile_section_hpp
27 
28 #include <ql/termstructures/volatility/smilesection.hpp>
29 
30 namespace QuantLib {
31 
32     class AtmAdjustedSmileSection : public SmileSection {
33 
34       public:
35         explicit AtmAdjustedSmileSection(const ext::shared_ptr<SmileSection>& source,
36                                          Real atm = Null<Real>(),
37                                          bool recenterSmile = false);
38 
minStrike() const39         Real minStrike() const { return source_->minStrike(); }
maxStrike() const40         Real maxStrike() const { return source_->maxStrike(); }
atmLevel() const41         Real atmLevel() const { return f_; }
exerciseDate() const42         const Date& exerciseDate() const { return source_->exerciseDate(); }
exerciseTime() const43         Time exerciseTime() const { return source_->exerciseTime(); }
dayCounter() const44         const DayCounter& dayCounter() const { return source_->dayCounter(); }
referenceDate() const45         const Date& referenceDate() const { return source_->referenceDate(); }
volatilityType() const46         VolatilityType volatilityType() const {
47             return source_->volatilityType();
48         }
shift() const49         Rate shift() const { return source_->shift(); }
50 
optionPrice(Rate strike,Option::Type type=Option::Call,Real discount=1.0) const51         Real optionPrice(Rate strike, Option::Type type = Option::Call,
52                          Real discount = 1.0) const {
53             return source_->optionPrice(adjustedStrike(strike), type, discount);
54         }
55 
digitalOptionPrice(Rate strike,Option::Type type=Option::Call,Real discount=1.0,Real gap=1.0e-5) const56         Real digitalOptionPrice(Rate strike, Option::Type type = Option::Call,
57                                 Real discount = 1.0, Real gap = 1.0e-5) const {
58             return source_->digitalOptionPrice(adjustedStrike(strike), type,
59                                                discount, gap);
60         }
61 
vega(Rate strike,Real discount=1.0) const62         Real vega(Rate strike, Real discount = 1.0) const {
63             return source_->vega(adjustedStrike(strike), discount);
64         }
65 
density(Rate strike,Real discount=1.0,Real gap=1.0E-4) const66         Real density(Rate strike, Real discount = 1.0,
67                      Real gap = 1.0E-4) const {
68             return source_->density(adjustedStrike(strike), discount, gap);
69         }
70 
71       protected:
72 
73         Real varianceImpl(Rate strike) const;
74         Volatility volatilityImpl(Rate strike) const;
75 
76       private:
77 
78         Real adjustedStrike(Real strike) const;
79         ext::shared_ptr<SmileSection> source_;
80         Real adjustment_;
81         Real f_;
82     };
83 }
84 
85 #endif
86