/src/quantlib/ql/termstructures/volatility/swaption/swaptionconstantvol.cpp

Source (jump to first uncovered line)
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2008 Ferdinando Ametrano
 Copyright (C) 2006, 2007 StatPro Italia srl
 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.
*/

#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>
#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
#include <utility>

namespace QuantLib {

    // floating reference date, floating market data
    ConstantSwaptionVolatility::ConstantSwaptionVolatility(Natural settlementDays,
                                                           const Calendar& cal,
                                                           BusinessDayConvention bdc,
                                                           Handle<Quote> vol,
                                                           const DayCounter& dc,
                                                           const VolatilityType type,
                                                           const Real shift)
    : SwaptionVolatilityStructure(settlementDays, cal, bdc, dc), volatility_(std::move(vol)),
      maxSwapTenor_(100 * Years), volatilityType_(type), shift_(shift) {
        registerWith(volatility_);
    }

    // fixed reference date, floating market data
    ConstantSwaptionVolatility::ConstantSwaptionVolatility(const Date& referenceDate,
                                                           const Calendar& cal,
                                                           BusinessDayConvention bdc,
                                                           Handle<Quote> vol,
                                                           const DayCounter& dc,
                                                           const VolatilityType type,
                                                           const Real shift)
    : SwaptionVolatilityStructure(referenceDate, cal, bdc, dc), volatility_(std::move(vol)),
      maxSwapTenor_(100 * Years), volatilityType_(type), shift_(shift) {
        registerWith(volatility_);
    }

    // floating reference date, fixed market data
    ConstantSwaptionVolatility::ConstantSwaptionVolatility(
                                                    Natural settlementDays,
                                                    const Calendar& cal,
                                                    BusinessDayConvention bdc,
                                                    Volatility vol,
                                                    const DayCounter& dc,
                                                    const VolatilityType type,
                                                    const Real shift)
    : SwaptionVolatilityStructure(settlementDays, cal, bdc, dc),
      volatility_(ext::shared_ptr<Quote>(new SimpleQuote(vol))),
      maxSwapTenor_(100*Years), volatilityType_(type), shift_(shift) {}

    // fixed reference date, fixed market data
    ConstantSwaptionVolatility::ConstantSwaptionVolatility(
                                                    const Date& referenceDate,
                                                    const Calendar& cal,
                                                    BusinessDayConvention bdc,
                                                    Volatility vol,
                                                    const DayCounter& dc,
                                                    const VolatilityType type,
                                                    const Real shift)
    : SwaptionVolatilityStructure(referenceDate, cal, bdc, dc),
      volatility_(ext::shared_ptr<Quote>(new SimpleQuote(vol))),
      maxSwapTenor_(100*Years), volatilityType_(type), shift_(shift) {}

    ext::shared_ptr<SmileSection>
    ConstantSwaptionVolatility::smileSectionImpl(const Date& d,
                                                 const Period&) const {
        Volatility atmVol = volatility_->value();
        return ext::shared_ptr<SmileSection>(
            new FlatSmileSection(d, atmVol, dayCounter(), referenceDate(),
                                 Null<Rate>(), volatilityType_, shift_));
    }

    ext::shared_ptr<SmileSection>
    ConstantSwaptionVolatility::smileSectionImpl(Time optionTime,
                                                 Time) const {
        Volatility atmVol = volatility_->value();
        return ext::shared_ptr<SmileSection>(
            new FlatSmileSection(optionTime, atmVol, dayCounter(), Null<Rate>(),
                                 volatilityType_, shift_));
    }

    Volatility ConstantSwaptionVolatility::volatilityImpl(const Date&,
                                                          const Period&,
                                                          Rate) const {
        return volatility_->value();
    }

    Volatility ConstantSwaptionVolatility::volatilityImpl(Time,
                                                          Time,
                                                          Rate) const {
        return volatility_->value();
    }

}

Line	Count	Source (jump to first uncovered line)
1		/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3		/*
4		Copyright (C) 2008 Ferdinando Ametrano
5		Copyright (C) 2006, 2007 StatPro Italia srl
6		Copyright (C) 2015 Peter Caspers
7
8		This file is part of QuantLib, a free-software/open-source library
9		for financial quantitative analysts and developers - http://quantlib.org/
10
11		QuantLib is free software: you can redistribute it and/or modify it
12		under the terms of the QuantLib license. You should have received a
13		copy of the license along with this program; if not, please email
14		<quantlib-dev@lists.sf.net>. The license is also available online at
15		<http://quantlib.org/license.shtml>.
16
17		This program is distributed in the hope that it will be useful, but WITHOUT
18		ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19		FOR A PARTICULAR PURPOSE. See the license for more details.
20		*/
21
22		#include <ql/quotes/simplequote.hpp>
23		#include <ql/termstructures/volatility/flatsmilesection.hpp>
24		#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
25		#include <utility>
26
27		namespace QuantLib {
28
29		// floating reference date, floating market data
30		ConstantSwaptionVolatility::ConstantSwaptionVolatility(Natural settlementDays,
31		const Calendar& cal,
32		BusinessDayConvention bdc,
33		Handle<Quote> vol,
34		const DayCounter& dc,
35		const VolatilityType type,
36		const Real shift)
37	0	: SwaptionVolatilityStructure(settlementDays, cal, bdc, dc), volatility_(std::move(vol)),
38	0	maxSwapTenor_(100 * Years), volatilityType_(type), shift_(shift) {
39	0	registerWith(volatility_);
40	0	} Unexecuted instantiation: QuantLib::ConstantSwaptionVolatility::ConstantSwaptionVolatility(unsigned int, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, QuantLib::Handle<QuantLib::Quote>, QuantLib::DayCounter const&, QuantLib::VolatilityType, double) Unexecuted instantiation: QuantLib::ConstantSwaptionVolatility::ConstantSwaptionVolatility(unsigned int, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, QuantLib::Handle<QuantLib::Quote>, QuantLib::DayCounter const&, QuantLib::VolatilityType, double)
41
42		// fixed reference date, floating market data
43		ConstantSwaptionVolatility::ConstantSwaptionVolatility(const Date& referenceDate,
44		const Calendar& cal,
45		BusinessDayConvention bdc,
46		Handle<Quote> vol,
47		const DayCounter& dc,
48		const VolatilityType type,
49		const Real shift)
50	0	: SwaptionVolatilityStructure(referenceDate, cal, bdc, dc), volatility_(std::move(vol)),
51	0	maxSwapTenor_(100 * Years), volatilityType_(type), shift_(shift) {
52	0	registerWith(volatility_);
53	0	} Unexecuted instantiation: QuantLib::ConstantSwaptionVolatility::ConstantSwaptionVolatility(QuantLib::Date const&, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, QuantLib::Handle<QuantLib::Quote>, QuantLib::DayCounter const&, QuantLib::VolatilityType, double) Unexecuted instantiation: QuantLib::ConstantSwaptionVolatility::ConstantSwaptionVolatility(QuantLib::Date const&, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, QuantLib::Handle<QuantLib::Quote>, QuantLib::DayCounter const&, QuantLib::VolatilityType, double)
54
55		// floating reference date, fixed market data
56		ConstantSwaptionVolatility::ConstantSwaptionVolatility(
57		Natural settlementDays,
58		const Calendar& cal,
59		BusinessDayConvention bdc,
60		Volatility vol,
61		const DayCounter& dc,
62		const VolatilityType type,
63		const Real shift)
64	0	: SwaptionVolatilityStructure(settlementDays, cal, bdc, dc),
65	0	volatility_(ext::shared_ptr<Quote>(new SimpleQuote(vol))),
66	0	maxSwapTenor_(100*Years), volatilityType_(type), shift_(shift) {} Unexecuted instantiation: QuantLib::ConstantSwaptionVolatility::ConstantSwaptionVolatility(unsigned int, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, double, QuantLib::DayCounter const&, QuantLib::VolatilityType, double) Unexecuted instantiation: QuantLib::ConstantSwaptionVolatility::ConstantSwaptionVolatility(unsigned int, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, double, QuantLib::DayCounter const&, QuantLib::VolatilityType, double)
67
68		// fixed reference date, fixed market data
69		ConstantSwaptionVolatility::ConstantSwaptionVolatility(
70		const Date& referenceDate,
71		const Calendar& cal,
72		BusinessDayConvention bdc,
73		Volatility vol,
74		const DayCounter& dc,
75		const VolatilityType type,
76		const Real shift)
77	0	: SwaptionVolatilityStructure(referenceDate, cal, bdc, dc),
78	0	volatility_(ext::shared_ptr<Quote>(new SimpleQuote(vol))),
79	0	maxSwapTenor_(100*Years), volatilityType_(type), shift_(shift) {} Unexecuted instantiation: QuantLib::ConstantSwaptionVolatility::ConstantSwaptionVolatility(QuantLib::Date const&, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, double, QuantLib::DayCounter const&, QuantLib::VolatilityType, double) Unexecuted instantiation: QuantLib::ConstantSwaptionVolatility::ConstantSwaptionVolatility(QuantLib::Date const&, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, double, QuantLib::DayCounter const&, QuantLib::VolatilityType, double)
80
81		ext::shared_ptr<SmileSection>
82		ConstantSwaptionVolatility::smileSectionImpl(const Date& d,
83	0	const Period&) const {
84	0	Volatility atmVol = volatility_->value();
85	0	return ext::shared_ptr<SmileSection>(
86	0	new FlatSmileSection(d, atmVol, dayCounter(), referenceDate(),
87	0	Null<Rate>(), volatilityType_, shift_));
88	0	}
89
90		ext::shared_ptr<SmileSection>
91		ConstantSwaptionVolatility::smileSectionImpl(Time optionTime,
92	0	Time) const {
93	0	Volatility atmVol = volatility_->value();
94	0	return ext::shared_ptr<SmileSection>(
95	0	new FlatSmileSection(optionTime, atmVol, dayCounter(), Null<Rate>(),
96	0	volatilityType_, shift_));
97	0	}
98
99		Volatility ConstantSwaptionVolatility::volatilityImpl(const Date&,
100		const Period&,
101	0	Rate) const {
102	0	return volatility_->value();
103	0	}
104
105		Volatility ConstantSwaptionVolatility::volatilityImpl(Time,
106		Time,
107	0	Rate) const {
108	0	return volatility_->value();
109	0	}
110
111		}

Coverage Report

Created: 2025-08-05 06:45