/src/quantlib/ql/termstructures/volatility/interpolatedsmilesection.hpp

Source
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2006 Ferdinando Ametrano
 Copyright (C) 2006 François du Vignaud
 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
 <https://www.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 interpolatedsmilesection.hpp
    \brief Interpolated smile section class
*/

#ifndef quantlib_interpolated_smile_section_hpp
#define quantlib_interpolated_smile_section_hpp

#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructure.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <utility>

namespace QuantLib {

    template<class Interpolator>
    class InterpolatedSmileSection : public SmileSection,
                                     public LazyObject {
      public:
        InterpolatedSmileSection(Time expiryTime,
                                 std::vector<Rate> strikes,
                                 const std::vector<Handle<Quote> >& stdDevHandles,
                                 Handle<Quote> atmLevel,
                                 const Interpolator& interpolator = Interpolator(),
                                 const DayCounter& dc = Actual365Fixed(),
                                 VolatilityType type = ShiftedLognormal,
                                 Real shift = 0.0);
        InterpolatedSmileSection(Time expiryTime,
                                 std::vector<Rate> strikes,
                                 const std::vector<Real>& stdDevs,
                                 Real atmLevel,
                                 const Interpolator& interpolator = Interpolator(),
                                 const DayCounter& dc = Actual365Fixed(),
                                 VolatilityType type = ShiftedLognormal,
                                 Real shift = 0.0);
        InterpolatedSmileSection(const Date& d,
                                 std::vector<Rate> strikes,
                                 const std::vector<Handle<Quote> >& stdDevHandles,
                                 Handle<Quote> atmLevel,
                                 const DayCounter& dc = Actual365Fixed(),
                                 const Interpolator& interpolator = Interpolator(),
                                 const Date& referenceDate = Date(),
                                 VolatilityType type = ShiftedLognormal,
                                 Real shift = 0.0);
        InterpolatedSmileSection(const Date& d,
                                 std::vector<Rate> strikes,
                                 const std::vector<Real>& stdDevs,
                                 Real atmLevel,
                                 const DayCounter& dc = Actual365Fixed(),
                                 const Interpolator& interpolator = Interpolator(),
                                 const Date& referenceDate = Date(),
                                 VolatilityType type = ShiftedLognormal,
                                 Real shift = 0.0);

        void performCalculations() const override;
        Real varianceImpl(Rate strike) const override;
        Volatility volatilityImpl(Rate strike) const override;
        Real minStrike() const override { return strikes_.front(); }
        Real maxStrike() const override { return strikes_.back(); }
        Real atmLevel() const override { return atmLevel_->value(); }
        void update() override;

      private:
        Real exerciseTimeSquareRoot_;
        std::vector<Rate> strikes_;
        std::vector<Handle<Quote> > stdDevHandles_;
        Handle<Quote> atmLevel_;
        mutable std::vector<Volatility> vols_;
        mutable Interpolation interpolation_;
    };


    template <class Interpolator>
    InterpolatedSmileSection<Interpolator>::InterpolatedSmileSection(
        Time timeToExpiry,
        std::vector<Rate> strikes,
        const std::vector<Handle<Quote> >& stdDevHandles,
        Handle<Quote> atmLevel,
        const Interpolator& interpolator,
        const DayCounter& dc,
        const VolatilityType type,
        const Real shift)
    : SmileSection(timeToExpiry, dc, type, shift),
      exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(std::move(strikes)),
      stdDevHandles_(stdDevHandles), atmLevel_(std::move(atmLevel)), vols_(stdDevHandles.size()) {
        for (auto& stdDevHandle : stdDevHandles_)
            LazyObject::registerWith(stdDevHandle);
        LazyObject::registerWith(atmLevel_);
        // check strikes!!!!!!!!!!!!!!!!!!!!
        interpolation_ = interpolator.interpolate(strikes_.begin(),
                                                  strikes_.end(),
                                                  vols_.begin());
    }

    template <class Interpolator>
    InterpolatedSmileSection<Interpolator>::InterpolatedSmileSection(
        Time timeToExpiry,
        std::vector<Rate> strikes,
        const std::vector<Real>& stdDevs,
        Real atmLevel,
        const Interpolator& interpolator,
        const DayCounter& dc,
        const VolatilityType type,
        const Real shift)
    : SmileSection(timeToExpiry, dc, type, shift),
      exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(std::move(strikes)),
      stdDevHandles_(stdDevs.size()), vols_(stdDevs.size()) {
        // fill dummy handles to allow generic handle-based
        // computations later on
        for (Size i=0; i<stdDevs.size(); ++i)
            stdDevHandles_[i] = Handle<Quote>(ext::shared_ptr<Quote>(new
                SimpleQuote(stdDevs[i])));
        atmLevel_ = Handle<Quote>
           (ext::shared_ptr<Quote>(new SimpleQuote(atmLevel)));
        // check strikes!!!!!!!!!!!!!!!!!!!!
        interpolation_ = interpolator.interpolate(strikes_.begin(),
                                                  strikes_.end(),
                                                  vols_.begin());
    }

    template <class Interpolator>
    InterpolatedSmileSection<Interpolator>::InterpolatedSmileSection(
        const Date& d,
        std::vector<Rate> strikes,
        const std::vector<Handle<Quote> >& stdDevHandles,
        Handle<Quote> atmLevel,
        const DayCounter& dc,
        const Interpolator& interpolator,
        const Date& referenceDate,
        const VolatilityType type,
        const Real shift)
    : SmileSection(d, dc, referenceDate, type, shift),
      exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(std::move(strikes)),
      stdDevHandles_(stdDevHandles), atmLevel_(std::move(atmLevel)), vols_(stdDevHandles.size()) {
        for (auto& stdDevHandle : stdDevHandles_)
            LazyObject::registerWith(stdDevHandle);
        LazyObject::registerWith(atmLevel_);
        // check strikes!!!!!!!!!!!!!!!!!!!!
        interpolation_ = interpolator.interpolate(strikes_.begin(),
                                                  strikes_.end(),
                                                  vols_.begin());
    }

    template <class Interpolator>
    InterpolatedSmileSection<Interpolator>::InterpolatedSmileSection(
        const Date& d,
        std::vector<Rate> strikes,
        const std::vector<Real>& stdDevs,
        Real atmLevel,
        const DayCounter& dc,
        const Interpolator& interpolator,
        const Date& referenceDate,
        const VolatilityType type,
        const Real shift)
    : SmileSection(d, dc, referenceDate, type, shift),
      exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(std::move(strikes)),
      stdDevHandles_(stdDevs.size()), vols_(stdDevs.size()) {
        //fill dummy handles to allow generic handle-based
        // computations later on
        for (Size i=0; i<stdDevs.size(); ++i)
            stdDevHandles_[i] = Handle<Quote>(ext::shared_ptr<Quote>(new
                SimpleQuote(stdDevs[i])));
        atmLevel_ = Handle<Quote>
           (ext::shared_ptr<Quote>(new SimpleQuote(atmLevel)));
        // check strikes!!!!!!!!!!!!!!!!!!!!
        interpolation_ = interpolator.interpolate(strikes_.begin(),
                                                  strikes_.end(),
                                                  vols_.begin());
    }


    template <class Interpolator>
    inline void InterpolatedSmileSection<Interpolator>::performCalculations()
                                                                      const {
        for (Size i=0; i<stdDevHandles_.size(); ++i)
            vols_[i] = stdDevHandles_[i]->value()/exerciseTimeSquareRoot_;
        interpolation_.update();
    }

    #ifndef __DOXYGEN__
    template <class Interpolator>
    Real InterpolatedSmileSection<Interpolator>::varianceImpl(Real strike) const {
        calculate();
        Real v = interpolation_(strike, true);
        return v*v*exerciseTime();
    }

    template <class Interpolator>
    Real InterpolatedSmileSection<Interpolator>::volatilityImpl(Real strike) const {
        calculate();
        return interpolation_(strike, true);
    }

    template <class Interpolator>
    void InterpolatedSmileSection<Interpolator>::update() {
        LazyObject::update();
        SmileSection::update();
    }
    #endif

}

#endif

Coverage Report

Created: 2026-03-11 06:44

Line	Count	Source
1		/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3		/*
4		Copyright (C) 2006 Ferdinando Ametrano
5		Copyright (C) 2006 François du Vignaud
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		<https://www.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		/*! \file interpolatedsmilesection.hpp
23		\brief Interpolated smile section class
24		*/
25
26		#ifndef quantlib_interpolated_smile_section_hpp
27		#define quantlib_interpolated_smile_section_hpp
28
29		#include <ql/math/interpolations/linearinterpolation.hpp>
30		#include <ql/patterns/lazyobject.hpp>
31		#include <ql/quotes/simplequote.hpp>
32		#include <ql/termstructure.hpp>
33		#include <ql/termstructures/volatility/smilesection.hpp>
34		#include <ql/time/daycounters/actual365fixed.hpp>
35		#include <utility>
36
37		namespace QuantLib {
38
39		template<class Interpolator>
40		class InterpolatedSmileSection : public SmileSection,
41		public LazyObject {
42		public:
43		InterpolatedSmileSection(Time expiryTime,
44		std::vector<Rate> strikes,
45		const std::vector<Handle<Quote> >& stdDevHandles,
46		Handle<Quote> atmLevel,
47		const Interpolator& interpolator = Interpolator(),
48		const DayCounter& dc = Actual365Fixed(),
49		VolatilityType type = ShiftedLognormal,
50		Real shift = 0.0);
51		InterpolatedSmileSection(Time expiryTime,
52		std::vector<Rate> strikes,
53		const std::vector<Real>& stdDevs,
54		Real atmLevel,
55		const Interpolator& interpolator = Interpolator(),
56		const DayCounter& dc = Actual365Fixed(),
57		VolatilityType type = ShiftedLognormal,
58		Real shift = 0.0);
59		InterpolatedSmileSection(const Date& d,
60		std::vector<Rate> strikes,
61		const std::vector<Handle<Quote> >& stdDevHandles,
62		Handle<Quote> atmLevel,
63		const DayCounter& dc = Actual365Fixed(),
64		const Interpolator& interpolator = Interpolator(),
65		const Date& referenceDate = Date(),
66		VolatilityType type = ShiftedLognormal,
67		Real shift = 0.0);
68		InterpolatedSmileSection(const Date& d,
69		std::vector<Rate> strikes,
70		const std::vector<Real>& stdDevs,
71		Real atmLevel,
72		const DayCounter& dc = Actual365Fixed(),
73		const Interpolator& interpolator = Interpolator(),
74		const Date& referenceDate = Date(),
75		VolatilityType type = ShiftedLognormal,
76		Real shift = 0.0);
77
78		void performCalculations() const override;
79		Real varianceImpl(Rate strike) const override;
80		Volatility volatilityImpl(Rate strike) const override;
81	0	Real minStrike() const override { return strikes_.front(); } Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Linear>::minStrike() const Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Cubic>::minStrike() const
82	0	Real maxStrike() const override { return strikes_.back(); } Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Linear>::maxStrike() const Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Cubic>::maxStrike() const
83	0	Real atmLevel() const override { return atmLevel_->value(); } Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Linear>::atmLevel() const Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Cubic>::atmLevel() const
84		void update() override;
85
86		private:
87		Real exerciseTimeSquareRoot_;
88		std::vector<Rate> strikes_;
89		std::vector<Handle<Quote> > stdDevHandles_;
90		Handle<Quote> atmLevel_;
91		mutable std::vector<Volatility> vols_;
92		mutable Interpolation interpolation_;
93		};
94
95
96		template <class Interpolator>
97		InterpolatedSmileSection<Interpolator>::InterpolatedSmileSection(
98		Time timeToExpiry,
99		std::vector<Rate> strikes,
100		const std::vector<Handle<Quote> >& stdDevHandles,
101		Handle<Quote> atmLevel,
102		const Interpolator& interpolator,
103		const DayCounter& dc,
104		const VolatilityType type,
105		const Real shift)
106		: SmileSection(timeToExpiry, dc, type, shift),
107		exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(std::move(strikes)),
108		stdDevHandles_(stdDevHandles), atmLevel_(std::move(atmLevel)), vols_(stdDevHandles.size()) {
109		for (auto& stdDevHandle : stdDevHandles_)
110		LazyObject::registerWith(stdDevHandle);
111		LazyObject::registerWith(atmLevel_);
112		// check strikes!!!!!!!!!!!!!!!!!!!!
113		interpolation_ = interpolator.interpolate(strikes_.begin(),
114		strikes_.end(),
115		vols_.begin());
116		}
117
118		template <class Interpolator>
119		InterpolatedSmileSection<Interpolator>::InterpolatedSmileSection(
120		Time timeToExpiry,
121		std::vector<Rate> strikes,
122		const std::vector<Real>& stdDevs,
123		Real atmLevel,
124		const Interpolator& interpolator,
125		const DayCounter& dc,
126		const VolatilityType type,
127		const Real shift)
128	0	: SmileSection(timeToExpiry, dc, type, shift),
129	0	exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(std::move(strikes)),
130	0	stdDevHandles_(stdDevs.size()), vols_(stdDevs.size()) {
131		// fill dummy handles to allow generic handle-based
132		// computations later on
133	0	for (Size i=0; i<stdDevs.size(); ++i)
134	0	stdDevHandles_[i] = Handle<Quote>(ext::shared_ptr<Quote>(new
135	0	SimpleQuote(stdDevs[i])));
136	0	atmLevel_ = Handle<Quote>
137	0	(ext::shared_ptr<Quote>(new SimpleQuote(atmLevel)));
138		// check strikes!!!!!!!!!!!!!!!!!!!!
139	0	interpolation_ = interpolator.interpolate(strikes_.begin(),
140	0	strikes_.end(),
141	0	vols_.begin());
142	0	} Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Cubic>::InterpolatedSmileSection(double, std::__1::vector<double, std::__1::allocator<double> >, std::__1::vector<double, std::__1::allocator<double> > const&, double, QuantLib::Cubic const&, QuantLib::DayCounter const&, QuantLib::VolatilityType, double) Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Linear>::InterpolatedSmileSection(double, std::__1::vector<double, std::__1::allocator<double> >, std::__1::vector<double, std::__1::allocator<double> > const&, double, QuantLib::Linear const&, QuantLib::DayCounter const&, QuantLib::VolatilityType, double)
143
144		template <class Interpolator>
145		InterpolatedSmileSection<Interpolator>::InterpolatedSmileSection(
146		const Date& d,
147		std::vector<Rate> strikes,
148		const std::vector<Handle<Quote> >& stdDevHandles,
149		Handle<Quote> atmLevel,
150		const DayCounter& dc,
151		const Interpolator& interpolator,
152		const Date& referenceDate,
153		const VolatilityType type,
154		const Real shift)
155		: SmileSection(d, dc, referenceDate, type, shift),
156		exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(std::move(strikes)),
157		stdDevHandles_(stdDevHandles), atmLevel_(std::move(atmLevel)), vols_(stdDevHandles.size()) {
158		for (auto& stdDevHandle : stdDevHandles_)
159		LazyObject::registerWith(stdDevHandle);
160		LazyObject::registerWith(atmLevel_);
161		// check strikes!!!!!!!!!!!!!!!!!!!!
162		interpolation_ = interpolator.interpolate(strikes_.begin(),
163		strikes_.end(),
164		vols_.begin());
165		}
166
167		template <class Interpolator>
168		InterpolatedSmileSection<Interpolator>::InterpolatedSmileSection(
169		const Date& d,
170		std::vector<Rate> strikes,
171		const std::vector<Real>& stdDevs,
172		Real atmLevel,
173		const DayCounter& dc,
174		const Interpolator& interpolator,
175		const Date& referenceDate,
176		const VolatilityType type,
177		const Real shift)
178	0	: SmileSection(d, dc, referenceDate, type, shift),
179	0	exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(std::move(strikes)),
180	0	stdDevHandles_(stdDevs.size()), vols_(stdDevs.size()) {
181		//fill dummy handles to allow generic handle-based
182		// computations later on
183	0	for (Size i=0; i<stdDevs.size(); ++i)
184	0	stdDevHandles_[i] = Handle<Quote>(ext::shared_ptr<Quote>(new
185	0	SimpleQuote(stdDevs[i])));
186	0	atmLevel_ = Handle<Quote>
187	0	(ext::shared_ptr<Quote>(new SimpleQuote(atmLevel)));
188		// check strikes!!!!!!!!!!!!!!!!!!!!
189	0	interpolation_ = interpolator.interpolate(strikes_.begin(),
190	0	strikes_.end(),
191	0	vols_.begin());
192	0	}
193
194
195		template <class Interpolator>
196		inline void InterpolatedSmileSection<Interpolator>::performCalculations()
197	0	const {
198	0	for (Size i=0; i<stdDevHandles_.size(); ++i)
199	0	vols_[i] = stdDevHandles_[i]->value()/exerciseTimeSquareRoot_;
200	0	interpolation_.update();
201	0	} Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Linear>::performCalculations() const Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Cubic>::performCalculations() const
202
203		#ifndef __DOXYGEN__
204		template <class Interpolator>
205	0	Real InterpolatedSmileSection<Interpolator>::varianceImpl(Real strike) const {
206	0	calculate();
207	0	Real v = interpolation_(strike, true);
208	0	return vvexerciseTime();
209	0	} Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Linear>::varianceImpl(double) const Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Cubic>::varianceImpl(double) const
210
211		template <class Interpolator>
212	0	Real InterpolatedSmileSection<Interpolator>::volatilityImpl(Real strike) const {
213	0	calculate();
214	0	return interpolation_(strike, true);
215	0	} Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Linear>::volatilityImpl(double) const Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Cubic>::volatilityImpl(double) const
216
217		template <class Interpolator>
218	0	void InterpolatedSmileSection<Interpolator>::update() {
219	0	LazyObject::update();
220	0	SmileSection::update();
221	0	} Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Linear>::update() Unexecuted instantiation: QuantLib::InterpolatedSmileSection<QuantLib::Cubic>::update()
222		#endif
223
224		}
225
226		#endif