/src/quantlib/ql/termstructures/volatility/spreadedsmilesection.hpp
Line | Count | Source |
1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2006 Mario Pucci |
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 | | <https://www.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 spreadedsmilesection.hpp |
21 | | \brief Spreaded SmileSection class |
22 | | */ |
23 | | |
24 | | #ifndef quantlib_spreaded_smile_section_hpp |
25 | | #define quantlib_spreaded_smile_section_hpp |
26 | | |
27 | | #include <ql/termstructures/volatility/smilesection.hpp> |
28 | | #include <ql/handle.hpp> |
29 | | |
30 | | namespace QuantLib { |
31 | | |
32 | | class Quote; |
33 | | |
34 | | class SpreadedSmileSection : public SmileSection { |
35 | | public: |
36 | | SpreadedSmileSection(ext::shared_ptr<SmileSection>, Handle<Quote> spread); |
37 | | //! \name SmileSection interface |
38 | | //@{ |
39 | | Real minStrike() const override; |
40 | | Real maxStrike() const override; |
41 | | Real atmLevel() const override; |
42 | | const Date& exerciseDate() const override; |
43 | | Time exerciseTime() const override; |
44 | | const DayCounter& dayCounter() const override; |
45 | | const Date& referenceDate() const override; |
46 | | VolatilityType volatilityType() const override; |
47 | | Rate shift() const override; |
48 | | //@} |
49 | | //! \name LazyObject interface |
50 | | //@{ |
51 | 0 | void update() override { notifyObservers(); } |
52 | | //@} |
53 | | protected: |
54 | | Volatility volatilityImpl(Rate strike) const override; |
55 | | |
56 | | private: |
57 | | const ext::shared_ptr<SmileSection> underlyingSection_; |
58 | | const Handle<Quote> spread_; |
59 | | }; |
60 | | |
61 | 0 | inline Real SpreadedSmileSection::minStrike() const { |
62 | 0 | return underlyingSection_->minStrike(); |
63 | 0 | } |
64 | | |
65 | 0 | inline Real SpreadedSmileSection::maxStrike() const { |
66 | 0 | return underlyingSection_->maxStrike(); |
67 | 0 | } |
68 | | |
69 | 0 | inline Real SpreadedSmileSection::atmLevel() const { |
70 | 0 | return underlyingSection_->atmLevel(); |
71 | 0 | } |
72 | | |
73 | 0 | inline const Date& SpreadedSmileSection::exerciseDate() const { |
74 | 0 | return underlyingSection_->exerciseDate(); |
75 | 0 | } |
76 | | |
77 | 0 | inline Time SpreadedSmileSection::exerciseTime() const { |
78 | 0 | return underlyingSection_->exerciseTime(); |
79 | 0 | } |
80 | | |
81 | 0 | inline const DayCounter& SpreadedSmileSection::dayCounter() const { |
82 | 0 | return underlyingSection_->dayCounter(); |
83 | 0 | } |
84 | | |
85 | 0 | inline const Date& SpreadedSmileSection::referenceDate() const { |
86 | 0 | return underlyingSection_->referenceDate(); |
87 | 0 | } |
88 | | |
89 | 0 | inline VolatilityType SpreadedSmileSection::volatilityType() const { |
90 | 0 | return underlyingSection_->volatilityType(); |
91 | 0 | } |
92 | | |
93 | 0 | inline Rate SpreadedSmileSection::shift() const { |
94 | 0 | return underlyingSection_->shift(); |
95 | 0 | } |
96 | | } |
97 | | |
98 | | #endif |