svismilesection.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2014 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_svi_smile_section_hpp
#define quantlib_svi_smile_section_hpp
 
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <vector>
 
namespace QuantLib {
 
 
class SviSmileSection : public SmileSection {
 
  public:
 
 
    SviSmileSection(Time timeToExpiry, Rate forward, std::vector<Real> sviParameters);
    SviSmileSection(const Date& d,
                    Rate forward,
                    std::vector<Real> sviParameters,
                    const DayCounter& dc = Actual365Fixed());
    Real minStrike() const override { return 0.0; }
    Real maxStrike() const override { return QL_MAX_REAL; }
    Real atmLevel() const override { return forward_; }
 
  protected:
    Volatility volatilityImpl(Rate strike) const override;
 
  private:
    void init();
    Rate forward_;
    std::vector<Real> params_;
};
}
 
#endif