smilesectionutils.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2013, 2018 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.
*/
 
/*! \file smilesectionutils.hpp
    \brief Additional utilities for smile sections
*/
 
#ifndef quantlib_smile_section_utils_hpp
#define quantlib_smile_section_utils_hpp
 
#include <ql/termstructures/volatility/smilesection.hpp>
#include <vector>
 
namespace QuantLib {
 
    /*! smile-section utilities, the moneyness is expressed in
        - absolute terms for normal
        - relative terms for shifted lognormal
        volatility smile sections */
    class SmileSectionUtils {
      public:
        SmileSectionUtils(const SmileSection& section,
                          const std::vector<Real>& moneynessGrid = std::vector<Real>(),
                          Real atm = Null<Real>(),
                          bool deleteArbitragePoints = false);
 
        std::pair<Real, Real> arbitragefreeRegion() const;
        std::pair<Size, Size> arbitragefreeIndices() const;
        const std::vector<Real> &moneyGrid() const { return m_; }
        const std::vector<Real> &strikeGrid() const { return k_; }
        const std::vector<Real> &callPrices() const { return c_; }
        Real atmLevel() const { return f_; }
 
      private:
        bool af(Size i0, Size i, Size i1) const;
        std::vector<Real> m_, c_, k_;
        Size leftIndex_, rightIndex_;
        Real f_;
    };
}
 
#endif