parametricvolatilitysmilesection.cpp

Go to the documentation of this file.

/*
 Copyright (C) 2024 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
#include <qle/termstructures/parametricvolatilitysmilesection.hpp>
 
namespace QuantExt {
 
ParametricVolatilitySmileSection::ParametricVolatilitySmileSection(
    const Real optionTime, const Real swapLength, const Real atmLevel,
    const boost::shared_ptr<ParametricVolatility> parametricVolatility,
    const ParametricVolatility::MarketQuoteType outputMarketQuoteType)
    : optionTime_(optionTime), swapLength_(swapLength), atmLevel_(atmLevel),
      parametricVolatility_(parametricVolatility), outputMarketQuoteType_(outputMarketQuoteType) {}
 
Real ParametricVolatilitySmileSection::atmLevel() const { return atmLevel_; }
 
Real ParametricVolatilitySmileSection::volatilityImpl(Rate strike) const {
    if (auto v = cache_.find(strike); v != cache_.end())
        return v->second;
    Real tmp = parametricVolatility_->evaluate(optionTime_, swapLength_, strike, atmLevel_, outputMarketQuoteType_);
    cache_[strike] = tmp;
    return tmp;
}
 
} // namespace QuantExt