/src/quantlib/ql/termstructures/volatility/spreadedsmilesection.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2006 Mario Pucci |
5 | | |
6 | | This file is part of QuantLib, a free-software/open-source library |
7 | | for financial quantitative analysts and developers - http://quantlib.org/ |
8 | | |
9 | | QuantLib is free software: you can redistribute it and/or modify it |
10 | | under the terms of the QuantLib license. You should have received a |
11 | | copy of the license along with this program; if not, please email |
12 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
13 | | <http://quantlib.org/license.shtml>. |
14 | | |
15 | | This program is distributed in the hope that it will be useful, but WITHOUT |
16 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
17 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
18 | | */ |
19 | | |
20 | | #include <ql/quote.hpp> |
21 | | #include <ql/termstructures/volatility/spreadedsmilesection.hpp> |
22 | | #include <utility> |
23 | | |
24 | | namespace QuantLib { |
25 | | |
26 | | SpreadedSmileSection::SpreadedSmileSection(ext::shared_ptr<SmileSection> underlyingSection, |
27 | | Handle<Quote> spread) |
28 | 0 | : underlyingSection_(std::move(underlyingSection)), spread_(std::move(spread)) { |
29 | 0 | registerWith(underlyingSection_); |
30 | 0 | registerWith(spread_); |
31 | 0 | } Unexecuted instantiation: QuantLib::SpreadedSmileSection::SpreadedSmileSection(boost::shared_ptr<QuantLib::SmileSection>, QuantLib::Handle<QuantLib::Quote>) Unexecuted instantiation: QuantLib::SpreadedSmileSection::SpreadedSmileSection(boost::shared_ptr<QuantLib::SmileSection>, QuantLib::Handle<QuantLib::Quote>) |
32 | | |
33 | 0 | Volatility SpreadedSmileSection::volatilityImpl(Rate k) const { |
34 | 0 | return underlyingSection_->volatility(k) + spread_->value(); |
35 | 0 | } |
36 | | |
37 | | } |