gaussian1dsmilesection.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 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_gaussian1dsmilesection_hpp
#define quantlib_gaussian1dsmilesection_hpp
 
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp>
#include <ql/pricingengines/swaption/gaussian1dswaptionengine.hpp>
#include <ql/pricingengines/capfloor/gaussian1dcapfloorengine.hpp>
 
namespace QuantLib {
 
class Gaussian1dSmileSection : public SmileSection {
  public:
    Gaussian1dSmileSection(const Date& fixingDate,
                           ext::shared_ptr<SwapIndex> swapIndex,
                           const ext::shared_ptr<Gaussian1dModel>& model,
                           const DayCounter& dc,
                           const ext::shared_ptr<Gaussian1dSwaptionEngine>& swaptionEngine =
                               ext::shared_ptr<Gaussian1dSwaptionEngine>());
    Gaussian1dSmileSection(const Date& fixingDate,
                           ext::shared_ptr<IborIndex> swapIndex,
                           const ext::shared_ptr<Gaussian1dModel>& model,
                           const DayCounter& dc,
                           const ext::shared_ptr<Gaussian1dCapFloorEngine>& capEngine =
                               ext::shared_ptr<Gaussian1dCapFloorEngine>());
 
    // the minimum strike is zero only because we are
    // returning a lognormal section
    Real minStrike() const override { return 0.0; }
    Real maxStrike() const override { return QL_MAX_REAL; }
 
    Real atmLevel() const override;
    Real optionPrice(Rate strike, Option::Type = Option::Call, Real discount = 1.0) const override;
 
  protected:
    Real volatilityImpl(Rate strike) const override;
 
  private:
    Real atm_, annuity_;
    Date fixingDate_;
    ext::shared_ptr<SwapIndex> swapIndex_;
    ext::shared_ptr<IborIndex> iborIndex_;
    ext::shared_ptr<Gaussian1dModel> model_;
    ext::shared_ptr<PricingEngine> engine_;
};
}
 
#endif