spreadedsmilesection.cpp

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/*
 Copyright (C) 2016 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/spreadedsmilesection.hpp>
 
namespace QuantExt {
 
SpreadedSmileSection::SpreadedSmileSection(const QuantLib::ext::shared_ptr<SmileSection>& underlyingSection,
                                           const Handle<Quote>& spread)
    : QuantLib::SpreadedSmileSection(underlyingSection, spread) {}
 
SpreadedSmileSection::SpreadedSmileSection(const QuantLib::ext::shared_ptr<QuantLib::SpreadedSmileSection>& underlyingSection)
    : QuantLib::SpreadedSmileSection(*underlyingSection) {}
 
Volatility SpreadedSmileSection::volatilityImpl(Rate k) const {
    Volatility spreadedVol = QuantLib::SpreadedSmileSection::volatilityImpl(k);
    return std::max(spreadedVol, 0.0);
}
} // namespace QuantExt