inline boost::shared_ptr<SmileSection>
SwaptionVolatilityStructure::smileSection(Time optionTime,
Time swapLength,
bool extrapolate) const {
checkSwapTenor(swapLength, extrapolate);
checkRange(optionTime, extrapolate);
return smileSectionImpl(optionTime, swapLength);
}
inline boost::shared_ptr<SmileSection>
SwaptionVolatilityStructure::smileSection(const Date& optionDate,
const Period& swapTenor,
bool extrapolate) const {
checkSwapTenor(swapTenor, extrapolate);
checkRange(optionDate, extrapolate);
return smileSectionImpl(optionDate, swapTenor);
}
boost::shared_ptr<SmileSection>
Gaussian1dSwaptionVolatility::smileSectionImpl(Time optionTime,
Time swapLength) const {
DateHelper hlp(*this, optionTime);
NewtonSafe newton;
Date d(static_cast<BigInteger>(newton.solve(
hlp, 0.1,
365.25 * optionTime + static_cast<Real>(referenceDate().serialNumber()),
1.0)));
Period tenor(
static_cast<Integer>(Rounding(0).operator()(swapLength * 12.0)),
Months);
d = indexBase_->fixingCalendar().adjust(d);
return smileSectionImpl(d, tenor);
}
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);
}
inline Volatility SwaptionVolatilityCube::volatilityImpl(
Time optionTime,
Time swapLength,
Rate strike) const {
return smileSectionImpl(optionTime, swapLength)->volatility(strike);
}
inline Volatility SwaptionVolatilityCube::volatilityImpl(
const Date& optionDate,
const Period& swapTenor,
Rate strike) const {
return smileSectionImpl(optionDate, swapTenor)->volatility(strike);
}
// 4. default implementation of Date-based xxxImpl methods
// relying on the equivalent Time-based methods
inline boost::shared_ptr<SmileSection>
SwaptionVolatilityStructure::smileSectionImpl(const Date& optionDate,
const Period& swapT) const {
return smileSectionImpl(timeFromReference(optionDate),
swapLength(swapT));
}
Volatility SingleSabrSwaptionVolatility::volatilityImpl(const Date& d,
const Period& tenor,
Rate strike) const {
return smileSectionImpl(d,tenor)->volatility(strike);
}
Volatility SingleSabrSwaptionVolatility::volatilityImpl(Time optionTime,
Time swapLength,
Rate strike) const {
return smileSectionImpl(optionTime,swapLength)->volatility(strike);
}
// 4. default implementation of Date-based xxxImpl methods
// relying on the equivalent Time-based methods
inline boost::shared_ptr<SmileSection>
OptionletVolatilityStructure::smileSectionImpl(const Date& optionDate) const {
return smileSectionImpl(timeFromReference(optionDate));
}
inline boost::shared_ptr<SmileSection>
OptionletVolatilityStructure::smileSection(Time optionTime,
bool extrapolate) const {
checkRange(optionTime, extrapolate);
return smileSectionImpl(optionTime);
}
Volatility BlackVolSurface::atmVolImpl(Time t) const {
const boost::shared_ptr<SmileSection>& s = smileSectionImpl(t);
return s->volatility(s->atmLevel());
}
Real BlackVolSurface::atmVarianceImpl(Time t) const {
const boost::shared_ptr<SmileSection>& s = smileSectionImpl(t);
return s->variance(s->atmLevel());
}
