/src/quantlib/ql/termstructures/volatility/atmadjustedsmilesection.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2013 Peter Caspers |
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/termstructures/volatility/atmadjustedsmilesection.hpp> |
21 | | |
22 | | namespace QuantLib { |
23 | | |
24 | | AtmAdjustedSmileSection::AtmAdjustedSmileSection(const ext::shared_ptr<SmileSection>& source, |
25 | | const Real atm, |
26 | | const bool recenterSmile) |
27 | 0 | : SmileSection(*source), source_(source) { |
28 | |
|
29 | 0 | f_ = atm; |
30 | 0 | if (f_ == Null<Real>()) |
31 | 0 | f_ = source_->atmLevel(); |
32 | 0 | if (recenterSmile && f_ != Null<Real>() && |
33 | 0 | source_->atmLevel() != Null<Real>()) |
34 | 0 | adjustment_ = source_->atmLevel() - f_; |
35 | 0 | else |
36 | 0 | adjustment_ = 0.0; |
37 | |
|
38 | 0 | } Unexecuted instantiation: QuantLib::AtmAdjustedSmileSection::AtmAdjustedSmileSection(boost::shared_ptr<QuantLib::SmileSection> const&, double, bool) Unexecuted instantiation: QuantLib::AtmAdjustedSmileSection::AtmAdjustedSmileSection(boost::shared_ptr<QuantLib::SmileSection> const&, double, bool) |
39 | | |
40 | 0 | Real AtmAdjustedSmileSection::adjustedStrike(Real strike) const { |
41 | 0 | return strike + adjustment_; |
42 | 0 | } |
43 | | |
44 | 0 | Real AtmAdjustedSmileSection::varianceImpl(Rate strike) const { |
45 | 0 | return source_->variance(adjustedStrike(strike)); |
46 | 0 | } |
47 | | |
48 | 0 | Real AtmAdjustedSmileSection::volatilityImpl(Rate strike) const { |
49 | 0 | return source_->volatility(adjustedStrike(strike)); |
50 | 0 | } |
51 | | |
52 | | } |