/src/quantlib/ql/termstructures/volatility/optionlet/constantoptionletvol.cpp

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

/*
 Copyright (C) 2008 Ferdinando Ametrano
 Copyright (C) 2004, 2005, 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
 <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.
*/

#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>
#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
#include <utility>

namespace QuantLib {

    // floating reference date, floating market data
    ConstantOptionletVolatility::ConstantOptionletVolatility(Natural settlementDays,
                                                             const Calendar& cal,
                                                             BusinessDayConvention bdc,
                                                             Handle<Quote> vol,
                                                             const DayCounter& dc,
                                                             VolatilityType type,
                                                             Real displacement)
    : OptionletVolatilityStructure(settlementDays, cal, bdc, dc), volatility_(std::move(vol)),
      type_(type), displacement_(displacement) {
        registerWith(volatility_);
    }

    // fixed reference date, floating market data
    ConstantOptionletVolatility::ConstantOptionletVolatility(const Date& referenceDate,
                                                             const Calendar& cal,
                                                             BusinessDayConvention bdc,
                                                             Handle<Quote> vol,
                                                             const DayCounter& dc,
                                                             VolatilityType type,
                                                             Real displacement)
    : OptionletVolatilityStructure(referenceDate, cal, bdc, dc), volatility_(std::move(vol)),
      type_(type), displacement_(displacement) {
        registerWith(volatility_);
    }

    // floating reference date, fixed market data
    ConstantOptionletVolatility::ConstantOptionletVolatility(
        Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc,
        Volatility vol, const DayCounter &dc, VolatilityType type,
        Real displacement)
        : OptionletVolatilityStructure(settlementDays, cal, bdc, dc),
          volatility_(ext::make_shared<SimpleQuote>(vol)),
          type_(type), displacement_(displacement) {}

    // fixed reference date, fixed market data
    ConstantOptionletVolatility::ConstantOptionletVolatility(
        const Date &referenceDate, const Calendar &cal,
        BusinessDayConvention bdc, Volatility vol, const DayCounter &dc,
        VolatilityType type, Real displacement)
        : OptionletVolatilityStructure(referenceDate, cal, bdc, dc),
          volatility_(ext::make_shared<SimpleQuote>(vol)),
          type_(type), displacement_(displacement) {}

    ext::shared_ptr<SmileSection>
    ConstantOptionletVolatility::smileSectionImpl(const Date& d) const {
        Volatility atmVol = volatility_->value();
        return ext::make_shared<FlatSmileSection>(
            d, atmVol, dayCounter(), referenceDate());
    }

    ext::shared_ptr<SmileSection>
    ConstantOptionletVolatility::smileSectionImpl(Time optionTime) const {
        Volatility atmVol = volatility_->value();
        return ext::make_shared<FlatSmileSection>(optionTime, atmVol, dayCounter());
    }

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

}

Line	Count	Source
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) 2004, 2005, 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		<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		#include <ql/quotes/simplequote.hpp>
23		#include <ql/termstructures/volatility/flatsmilesection.hpp>
24		#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
25		#include <utility>
26
27		namespace QuantLib {
28
29		// floating reference date, floating market data
30		ConstantOptionletVolatility::ConstantOptionletVolatility(Natural settlementDays,
31		const Calendar& cal,
32		BusinessDayConvention bdc,
33		Handle<Quote> vol,
34		const DayCounter& dc,
35		VolatilityType type,
36		Real displacement)
37	0	: OptionletVolatilityStructure(settlementDays, cal, bdc, dc), volatility_(std::move(vol)),
38	0	type_(type), displacement_(displacement) {
39	0	registerWith(volatility_);
40	0	} Unexecuted instantiation: QuantLib::ConstantOptionletVolatility::ConstantOptionletVolatility(unsigned int, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, QuantLib::Handle<QuantLib::Quote>, QuantLib::DayCounter const&, QuantLib::VolatilityType, double) Unexecuted instantiation: QuantLib::ConstantOptionletVolatility::ConstantOptionletVolatility(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		ConstantOptionletVolatility::ConstantOptionletVolatility(const Date& referenceDate,
44		const Calendar& cal,
45		BusinessDayConvention bdc,
46		Handle<Quote> vol,
47		const DayCounter& dc,
48		VolatilityType type,
49		Real displacement)
50	0	: OptionletVolatilityStructure(referenceDate, cal, bdc, dc), volatility_(std::move(vol)),
51	0	type_(type), displacement_(displacement) {
52	0	registerWith(volatility_);
53	0	} Unexecuted instantiation: QuantLib::ConstantOptionletVolatility::ConstantOptionletVolatility(QuantLib::Date const&, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, QuantLib::Handle<QuantLib::Quote>, QuantLib::DayCounter const&, QuantLib::VolatilityType, double) Unexecuted instantiation: QuantLib::ConstantOptionletVolatility::ConstantOptionletVolatility(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		ConstantOptionletVolatility::ConstantOptionletVolatility(
57		Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc,
58		Volatility vol, const DayCounter &dc, VolatilityType type,
59		Real displacement)
60	0	: OptionletVolatilityStructure(settlementDays, cal, bdc, dc),
61	0	volatility_(ext::make_shared<SimpleQuote>(vol)),
62	0	type_(type), displacement_(displacement) {} Unexecuted instantiation: QuantLib::ConstantOptionletVolatility::ConstantOptionletVolatility(unsigned int, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, double, QuantLib::DayCounter const&, QuantLib::VolatilityType, double) Unexecuted instantiation: QuantLib::ConstantOptionletVolatility::ConstantOptionletVolatility(unsigned int, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, double, QuantLib::DayCounter const&, QuantLib::VolatilityType, double)
63
64		// fixed reference date, fixed market data
65		ConstantOptionletVolatility::ConstantOptionletVolatility(
66		const Date &referenceDate, const Calendar &cal,
67		BusinessDayConvention bdc, Volatility vol, const DayCounter &dc,
68		VolatilityType type, Real displacement)
69	0	: OptionletVolatilityStructure(referenceDate, cal, bdc, dc),
70	0	volatility_(ext::make_shared<SimpleQuote>(vol)),
71	0	type_(type), displacement_(displacement) {} Unexecuted instantiation: QuantLib::ConstantOptionletVolatility::ConstantOptionletVolatility(QuantLib::Date const&, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, double, QuantLib::DayCounter const&, QuantLib::VolatilityType, double) Unexecuted instantiation: QuantLib::ConstantOptionletVolatility::ConstantOptionletVolatility(QuantLib::Date const&, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, double, QuantLib::DayCounter const&, QuantLib::VolatilityType, double)
72
73		ext::shared_ptr<SmileSection>
74	0	ConstantOptionletVolatility::smileSectionImpl(const Date& d) const {
75	0	Volatility atmVol = volatility_->value();
76	0	return ext::make_shared<FlatSmileSection>(
77	0	d, atmVol, dayCounter(), referenceDate());
78	0	}
79
80		ext::shared_ptr<SmileSection>
81	0	ConstantOptionletVolatility::smileSectionImpl(Time optionTime) const {
82	0	Volatility atmVol = volatility_->value();
83	0	return ext::make_shared<FlatSmileSection>(optionTime, atmVol, dayCounter());
84	0	}
85
86		Volatility ConstantOptionletVolatility::volatilityImpl(Time,
87	0	Rate) const {
88	0	return volatility_->value();
89	0	}
90
91		}

Coverage Report

Created: 2026-08-14 07:10