#include <qle/termstructures/swaptionvolconstantspread.hpp>

Inheritance diagram for ConstantSpreadSmileSection:

Collaboration diagram for ConstantSpreadSmileSection:

Public Member Functions
	ConstantSpreadSmileSection (const Handle< SwaptionVolatilityStructure > &atm, const Handle< SwaptionVolatilityStructure > &cube, const Real optionTime, const Real swapLength)

Rate	minStrike () const override

Rate	maxStrike () const override

Rate	atmLevel () const override

Protected Member Functions
Volatility	volatilityImpl (Rate strike) const override

Private Attributes
const Handle< SwaptionVolatilityStructure >	atm_

const Handle< SwaptionVolatilityStructure >	cube_

const Real	swapLength_

const QuantLib::ext::shared_ptr< SmileSection >	section_

const Real	atmStrike_

Detailed Description

Definition at line 34 of file swaptionvolconstantspread.hpp.

Constructor & Destructor Documentation

◆ ConstantSpreadSmileSection()

ConstantSpreadSmileSection	(	const Handle< SwaptionVolatilityStructure > &	atm,
		const Handle< SwaptionVolatilityStructure > &	cube,
		const Real	optionTime,
		const Real	swapLength
	)

Definition at line 36 of file swaptionvolconstantspread.hpp.

        : SmileSection(optionTime, DayCounter(), atm->volatilityType(),
                       atm->volatilityType() == ShiftedLognormal ? atm->shift(optionTime, swapLength) : 0.0),
          atm_(atm), cube_(cube), swapLength_(swapLength), section_(cube_->smileSection(optionTime, swapLength_)),
          atmStrike_(section_->atmLevel()) {
        registerWith(atm_);
        registerWith(cube_);
    }

Member Function Documentation

◆ minStrike()

Rate minStrike ( ) const

override

Definition at line 46 of file swaptionvolconstantspread.hpp.

46{ return cube_->minStrike(); }

◆ maxStrike()

Rate maxStrike ( ) const

override

Definition at line 47 of file swaptionvolconstantspread.hpp.

47{ return cube_->maxStrike(); }

◆ atmLevel()

Rate atmLevel ( ) const

override

Definition at line 48 of file swaptionvolconstantspread.hpp.

48{ return Null<Real>(); }

◆ volatilityImpl()

Volatility volatilityImpl ( Rate strike ) const

overrideprotected

Definition at line 25 of file swaptionvolconstantspread.cpp.

                                                                       {
    Real t = exerciseTime();
    Real s = section_->volatility(strike) - section_->volatility(atmStrike_);
    Real v = atm_->volatility(t, swapLength_, strike);
    return v + s;
}