fxsmilesection.hpp

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/*
 Copyright (C) 2017 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file fxsmilesection.hpp
    \brief FX smile section assuming a strike/volatility space
    \ingroup termstructures
*/
 
#ifndef quantext_fx_smile_section_hpp
#define quantext_fx_smile_section_hpp
 
#include <ql/types.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
//! FX SmileSection
//! \ingroup termstructures
class FxSmileSection {
public:
    FxSmileSection() : spot_(0.0), rd_(0.0), rf_(0.0), t_(0.0) {}
    FxSmileSection(Real spot, Real rd, Real rf, Time t) : spot_(spot), rd_(rd), rf_(rf), t_(t) {}
    virtual ~FxSmileSection(){};
 
    virtual Volatility volatility(Real strike) const = 0;
 
    DiscountFactor domesticDiscount() const { return std::exp(-rd_ * t_); }
    DiscountFactor foreignDiscount() const { return std::exp(-rf_ * t_); }
 
protected:
    Real spot_;
    Real rd_;
    Real rf_;
    Time t_;
};
 
} // namespace QuantExt
 
#endif