strippedoptionletadapter.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Giorgio Facchinetti
 Copyright (C) 2007 Katiuscia Manzoni
 Copyright (C) 2015 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
 <http://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.
*/
 
#ifndef quantlib_stripped_optionlet_adapter_h
#define quantlib_stripped_optionlet_adapter_h
 
#include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp>
#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/math/interpolation.hpp>
#include <ql/math/interpolations/sabrinterpolation.hpp>
 
namespace QuantLib {
 
    class StrippedOptionletAdapter : public OptionletVolatilityStructure,
                                     public LazyObject {
      public:
          StrippedOptionletAdapter(
                              const ext::shared_ptr<StrippedOptionletBase>&);
 
 
          Date maxDate() const override;
 
          Rate minStrike() const override;
          Rate maxStrike() const override;
 
          void update() override;
          void performCalculations() const override;
          ext::shared_ptr<OptionletStripper> optionletStripper() const;
 
          void deepUpdate() override;
 
          VolatilityType volatilityType() const override;
          Real displacement() const override;
 
        protected:
 
          ext::shared_ptr<SmileSection> smileSectionImpl(Time optionTime) const override;
          Volatility volatilityImpl(Time length, Rate strike) const override;
        private:
          const ext::shared_ptr<StrippedOptionletBase> optionletStripper_;
          Size nInterpolations_;
          mutable std::vector<ext::shared_ptr<Interpolation> > strikeInterpolations_;
    };
 
    inline void StrippedOptionletAdapter::update() {
        TermStructure::update();
        LazyObject::update();
    }
 
    inline void StrippedOptionletAdapter::deepUpdate() {
        optionletStripper_->update();
        update();
    }
 
    inline ext::shared_ptr< OptionletStripper >
    StrippedOptionletAdapter::optionletStripper() const {
        return ext::dynamic_pointer_cast< OptionletStripper >(
            optionletStripper_);
    }
}
 
#endif