/usr/include/ql/termstructures/volatility/sabrsmilesection.hpp is in libquantlib0-dev 1.7.1-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Mario Pucci
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.
*/
/*! \file sabrsmilesection.hpp
\brief sabr smile section class
*/
#ifndef quantlib_sabr_smile_section_hpp
#define quantlib_sabr_smile_section_hpp
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <vector>
namespace QuantLib {
class SabrSmileSection : public SmileSection {
public:
SabrSmileSection(Time timeToExpiry,
Rate forward,
const std::vector<Real>& sabrParameters,
const Real shift = 0.0);
SabrSmileSection(const Date& d,
Rate forward,
const std::vector<Real>& sabrParameters,
const DayCounter& dc = Actual365Fixed(),
const Real shift = 0.0);
Real minStrike () const { return -shift_; }
Real maxStrike () const { return QL_MAX_REAL; }
Real atmLevel() const { return forward_; }
protected:
Real varianceImpl(Rate strike) const;
Volatility volatilityImpl(Rate strike) const;
private:
Real alpha_, beta_, nu_, rho_, forward_, shift_;
};
}
#endif
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