atmadjustedsmilesection.cpp

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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));
    }
 
}