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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013 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/termstructures/volatility/atmadjustedsmilesection.hpp>
namespace QuantLib {
AtmAdjustedSmileSection::AtmAdjustedSmileSection(const ext::shared_ptr<SmileSection>& source,
const Real atm,
const bool recenterSmile)
: SmileSection(*source), source_(source) {
f_ = atm;
if (f_ == Null<Real>())
f_ = source_->atmLevel();
if (recenterSmile && f_ != Null<Real>() &&
source_->atmLevel() != Null<Real>())
adjustment_ = source_->atmLevel() - f_;
else
adjustment_ = 0.0;
}
Real AtmAdjustedSmileSection::adjustedStrike(Real strike) const {
return strike + adjustment_;
}
Real AtmAdjustedSmileSection::varianceImpl(Rate strike) const {
return source_->variance(adjustedStrike(strike));
}
Real AtmAdjustedSmileSection::volatilityImpl(Rate strike) const {
return source_->volatility(adjustedStrike(strike));
}
}
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