/src/quantlib/ql/termstructures/volatility/optionlet/spreadedoptionletvol.cpp
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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) 2007 Giorgio Facchinetti |
6 | | |
7 | | This file is part of QuantLib, a free-software/open-source library |
8 | | for financial quantitative analysts and developers - http://quantlib.org/ |
9 | | |
10 | | QuantLib is free software: you can redistribute it and/or modify it |
11 | | under the terms of the QuantLib license. You should have received a |
12 | | copy of the license along with this program; if not, please email |
13 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
14 | | <http://quantlib.org/license.shtml>. |
15 | | |
16 | | This program is distributed in the hope that it will be useful, but WITHOUT |
17 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
18 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
19 | | */ |
20 | | |
21 | | #include <ql/quote.hpp> |
22 | | #include <ql/termstructures/volatility/optionlet/spreadedoptionletvol.hpp> |
23 | | #include <ql/termstructures/volatility/spreadedsmilesection.hpp> |
24 | | #include <utility> |
25 | | |
26 | | namespace QuantLib { |
27 | | |
28 | | SpreadedOptionletVolatility::SpreadedOptionletVolatility( |
29 | | const Handle<OptionletVolatilityStructure>& baseVol, Handle<Quote> spread) |
30 | 0 | : baseVol_(baseVol), spread_(std::move(spread)) { |
31 | 0 | enableExtrapolation(baseVol->allowsExtrapolation()); |
32 | 0 | registerWith(baseVol_); |
33 | 0 | registerWith(spread_); |
34 | 0 | } Unexecuted instantiation: QuantLib::SpreadedOptionletVolatility::SpreadedOptionletVolatility(QuantLib::Handle<QuantLib::OptionletVolatilityStructure> const&, QuantLib::Handle<QuantLib::Quote>) Unexecuted instantiation: QuantLib::SpreadedOptionletVolatility::SpreadedOptionletVolatility(QuantLib::Handle<QuantLib::OptionletVolatilityStructure> const&, QuantLib::Handle<QuantLib::Quote>) |
35 | | |
36 | | ext::shared_ptr<SmileSection> |
37 | 0 | SpreadedOptionletVolatility::smileSectionImpl(const Date& d) const { |
38 | 0 | ext::shared_ptr<SmileSection> baseSmile = |
39 | 0 | baseVol_->smileSection(d, true); |
40 | 0 | return ext::shared_ptr<SmileSection>(new |
41 | 0 | SpreadedSmileSection(baseSmile, spread_)); |
42 | 0 | } |
43 | | |
44 | | ext::shared_ptr<SmileSection> |
45 | 0 | SpreadedOptionletVolatility::smileSectionImpl(Time optionTime) const { |
46 | 0 | ext::shared_ptr<SmileSection> baseSmile = |
47 | 0 | baseVol_->smileSection(optionTime, true); |
48 | 0 | return ext::shared_ptr<SmileSection>(new |
49 | 0 | SpreadedSmileSection(baseSmile, spread_)); |
50 | 0 | } |
51 | | |
52 | | Volatility SpreadedOptionletVolatility::volatilityImpl(Time t, |
53 | 0 | Rate s) const { |
54 | 0 | return baseVol_->volatility(t, s, true) + spread_->value(); |
55 | 0 | } |
56 | | |
57 | | } |