boost::shared_ptr<SmileSection>
SwaptionVolatilityHullWhite::smileSectionImpl(Time optionTime,
Time swapLength) const {
calculate();
Date optionDate = Date(static_cast<BigInteger>(optionInterpolator_(optionTime)));
Rounding rounder(0);
Period swapTenor(static_cast<Integer>(rounder(swapLength*12.0)), Months);
return smileSection(optionDate, swapTenor);
}
boost::shared_ptr<SmileSection>
SwaptionVolCube2::smileSectionImpl(Time optionTime,
Time swapLength) const {
calculate();
Date optionDate = optionDateFromTime(optionTime);
Rounding rounder(0);
Period swapTenor(static_cast<Integer>(rounder(swapLength*12.0)), Months);
// ensure that option date is valid fixing date
optionDate =
swapTenor > shortSwapIndexBase_->tenor()
? swapIndexBase_->fixingCalendar().adjust(optionDate, Following)
: shortSwapIndexBase_->fixingCalendar().adjust(optionDate,
Following);
return smileSectionImpl(optionDate, swapTenor);
}
