25787959715

Committed 13 May 2026 08:35AM UTC coverage: 74.571% (+0.005%) from 74.566%

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Commit Message

Add `smileSection(...)` methods to `BlackVolTermStructure` (#2487)

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70.89

/ql/termstructures/volatility/equityfx/blackvoltermstructure.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2002, 2003 Ferdinando Ametrano
 Copyright (C) 2026 Yassine Idyiahia

 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
 <https://www.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/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>

namespace QuantLib {

    namespace {

        class BlackVolSmileSectionAdapter : public SmileSection {
          public:
            BlackVolSmileSectionAdapter(
                ext::shared_ptr<const BlackVolTermStructure> vol,
                Time t)
            : SmileSection(t, vol->dayCounter()), vol_(std::move(vol)) {}
            Real minStrike() const override { return vol_->minStrike(); }
            Real maxStrike() const override { return vol_->maxStrike(); }
            Real atmLevel() const override {
                return vol_->atmLevel(exerciseTime());
            }
          protected:
            Volatility volatilityImpl(Rate strike) const override {
                return vol_->blackVol(exerciseTime(), strike, true);
            }
          private:
            ext::shared_ptr<const BlackVolTermStructure> vol_;
        };

    }

    BlackVolTermStructure::BlackVolTermStructure(BusinessDayConvention bdc,
                                                 const DayCounter& dc)
    : VolatilityTermStructure(bdc, dc) {}

    BlackVolTermStructure::BlackVolTermStructure(const Date& refDate,
                                                 const Calendar& cal,
                                                 BusinessDayConvention bdc,
                                                 const DayCounter& dc)
    : VolatilityTermStructure(refDate, cal, bdc, dc) {}

    BlackVolTermStructure::BlackVolTermStructure(Natural settlDays,
                                                 const Calendar& cal,
                                                 BusinessDayConvention bdc,
                                                 const DayCounter& dc)
    : VolatilityTermStructure(settlDays, cal, bdc, dc) {}

    Volatility BlackVolTermStructure::blackForwardVol(const Date& date1,
                                                      const Date& date2,
                                                      Real strike,
                                                      bool extrapolate) const {
        // (redundant) date-based checks
        QL_REQUIRE(date1 <= date2,
                   date1 << " later than " << date2);
        checkRange(date2, extrapolate);

        // using the time implementation
        Time time1 = timeFromReference(date1);
        Time time2 = timeFromReference(date2);
        return blackForwardVol(time1, time2, strike, extrapolate);
    }

    Volatility BlackVolTermStructure::blackForwardVol(Time time1,
                                                      Time time2,
                                                      Real strike,
                                                      bool extrapolate) const {
        QL_REQUIRE(time1 <= time2,
                   time1 << " later than " << time2);
        checkRange(time2, extrapolate);
        checkStrike(strike, extrapolate);
        if (time2==time1) {
            if (time1==0.0) {
                Time epsilon = 1.0e-5;
                Real var = blackVarianceImpl(epsilon, strike);
                return std::sqrt(var/epsilon);
            } else {
                Time epsilon = std::min<Time>(1.0e-5, time1);
                Real var1 = blackVarianceImpl(time1-epsilon, strike);
                Real var2 = blackVarianceImpl(time1+epsilon, strike);
                QL_ENSURE(var2>=var1,
                          "variances must be non-decreasing");
                return std::sqrt((var2-var1)/(2*epsilon));
            }
        } else {
            Real var1 = blackVarianceImpl(time1, strike);
            Real var2 = blackVarianceImpl(time2, strike);
            QL_ENSURE(var2 >= var1,
                      "variances must be non-decreasing");
            return std::sqrt((var2-var1)/(time2-time1));
        }
    }

    Real BlackVolTermStructure::blackForwardVariance(const Date& date1,
                                                     const Date& date2,
                                                     Real strike,
                                                     bool extrapolate)
                                                                      const {
        // (redundant) date-based checks
        QL_REQUIRE(date1 <= date2,
                   date1 << " later than " << date2);
        checkRange(date2, extrapolate);

        // using the time implementation
        Time time1 = timeFromReference(date1);
        Time time2 = timeFromReference(date2);
        return blackForwardVariance(time1, time2, strike, extrapolate);
    }

    Real BlackVolTermStructure::blackForwardVariance(Time time1,
                                                     Time time2,
                                                     Real strike,
                                                     bool extrapolate) const {
        QL_REQUIRE(time1 <= time2,
                   time1 << " later than " << time2);
        checkRange(time2, extrapolate);
        checkStrike(strike, extrapolate);
        Real v1 = blackVarianceImpl(time1, strike);
        Real v2 = blackVarianceImpl(time2, strike);
        QL_ENSURE(v2 >= v1,
                  "variances must be non-decreasing");
        return v2-v1;
    }

    BlackVolatilityTermStructure::BlackVolatilityTermStructure(
                                                    BusinessDayConvention bdc,
                                                    const DayCounter& dc)
    : BlackVolTermStructure(bdc, dc) {}

    BlackVolatilityTermStructure::BlackVolatilityTermStructure(
                                                    const Date& refDate,
                                                    const Calendar& cal,
                                                    BusinessDayConvention bdc,
                                                    const DayCounter& dc)
    : BlackVolTermStructure(refDate, cal, bdc, dc) {}

    BlackVolatilityTermStructure::BlackVolatilityTermStructure(
                                                    Natural settlementDays,
                                                    const Calendar& cal,
                                                    BusinessDayConvention bdc,
                                                    const DayCounter& dc)
    : BlackVolTermStructure(settlementDays, cal, bdc, dc) {}

    BlackVarianceTermStructure::BlackVarianceTermStructure(
                                                    BusinessDayConvention bdc,
                                                    const DayCounter& dc)
    : BlackVolTermStructure(bdc, dc) {}

    BlackVarianceTermStructure::BlackVarianceTermStructure(
                                                    const Date& refDate,
                                                    const Calendar& cal,
                                                    BusinessDayConvention bdc,
                                                    const DayCounter& dc)
    : BlackVolTermStructure(refDate, cal, bdc, dc) {}

    BlackVarianceTermStructure::BlackVarianceTermStructure(
                                                    Natural settlementDays,
                                                    const Calendar& cal,
                                                    BusinessDayConvention bdc,
                                                    const DayCounter& dc)
    : BlackVolTermStructure(settlementDays, cal, bdc, dc) {}

    ext::shared_ptr<SmileSection>
    BlackVolTermStructure::smileSectionImpl(Time t) const {
        try {
            return ext::make_shared<BlackVolSmileSectionAdapter>(
#ifdef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
                ext::dynamic_pointer_cast<const BlackVolTermStructure>(
                    shared_from_this()),
#else
                shared_from_this(),
#endif
                t);
        } catch (const ext::bad_weak_ptr&) {
            QL_FAIL("smileSection() requires the BlackVolTermStructure "
                    "to be held by a shared_ptr");
        }
    }

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2002, 2003 Ferdinando Ametrano
5	Copyright (C) 2026 Yassine Idyiahia
6
7	This file is part of QuantLib, a free-software/open-source library
8	for financial quantitative analysts and developers - http://quantlib.org/
9
10	QuantLib is free software: you can redistribute it and/or modify it
11	under the terms of the QuantLib license. You should have received a
12	copy of the license along with this program; if not, please email
13	<quantlib-dev@lists.sf.net>. The license is also available online at
14	<https://www.quantlib.org/license.shtml>.
15
16	This program is distributed in the hope that it will be useful, but WITHOUT
17	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18	FOR A PARTICULAR PURPOSE. See the license for more details.
19	*/
20
21	#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
22	#include <ql/termstructures/volatility/smilesection.hpp>
23
24	namespace QuantLib {
25
26	namespace {
27
28	class BlackVolSmileSectionAdapter : public SmileSection {
29	public:
30	BlackVolSmileSectionAdapter(	3✔
31	ext::shared_ptr<const BlackVolTermStructure> vol,
32	Time t)
33	: SmileSection(t, vol->dayCounter()), vol_(std::move(vol)) {}	6✔
NEW 34	Real minStrike() const override { return vol_->minStrike(); }	×
NEW 35	Real maxStrike() const override { return vol_->maxStrike(); }	×
36	Real atmLevel() const override {	2✔
37	return vol_->atmLevel(exerciseTime());	2✔
38	}
39	protected:
40	Volatility volatilityImpl(Rate strike) const override {	10✔
41	return vol_->blackVol(exerciseTime(), strike, true);	10✔
42	}
43	private:
44	ext::shared_ptr<const BlackVolTermStructure> vol_;
45	};
46
47	}
48
49	BlackVolTermStructure::BlackVolTermStructure(BusinessDayConvention bdc,	20✔
50	const DayCounter& dc)	×
51	: VolatilityTermStructure(bdc, dc) {}	20✔
52
53	BlackVolTermStructure::BlackVolTermStructure(const Date& refDate,	355,212✔
54	const Calendar& cal,
55	BusinessDayConvention bdc,
56	const DayCounter& dc)	×
57	: VolatilityTermStructure(refDate, cal, bdc, dc) {}	355,212✔
58
59	BlackVolTermStructure::BlackVolTermStructure(Natural settlDays,	257✔
60	const Calendar& cal,
61	BusinessDayConvention bdc,
62	const DayCounter& dc)	×
63	: VolatilityTermStructure(settlDays, cal, bdc, dc) {}	257✔
64
65	Volatility BlackVolTermStructure::blackForwardVol(const Date& date1,	×
66	const Date& date2,
67	Real strike,
68	bool extrapolate) const {
69	// (redundant) date-based checks
70	QL_REQUIRE(date1 <= date2,	×
71	date1 << " later than " << date2);
72	checkRange(date2, extrapolate);	×
73
74	// using the time implementation
75	Time time1 = timeFromReference(date1);	×
76	Time time2 = timeFromReference(date2);	×
77	return blackForwardVol(time1, time2, strike, extrapolate);	×
78	}
79
80	Volatility BlackVolTermStructure::blackForwardVol(Time time1,	8,589,359✔
81	Time time2,
82	Real strike,
83	bool extrapolate) const {
84	QL_REQUIRE(time1 <= time2,	8,589,359✔
85	time1 << " later than " << time2);
86	checkRange(time2, extrapolate);	8,589,359✔
87	checkStrike(strike, extrapolate);	8,589,359✔
88	if (time2==time1) {	8,589,359✔
89	if (time1==0.0) {	159,850✔
90	Time epsilon = 1.0e-5;
91	Real var = blackVarianceImpl(epsilon, strike);	×
92	return std::sqrt(var/epsilon);	×
93	} else {
94	Time epsilon = std::min<Time>(1.0e-5, time1);	159,850✔
95	Real var1 = blackVarianceImpl(time1-epsilon, strike);	159,850✔
96	Real var2 = blackVarianceImpl(time1+epsilon, strike);	159,850✔
97	QL_ENSURE(var2>=var1,	159,850✔
98	"variances must be non-decreasing");
99	return std::sqrt((var2-var1)/(2*epsilon));	159,850✔
100	}
101	} else {
102	Real var1 = blackVarianceImpl(time1, strike);	8,429,509✔
103	Real var2 = blackVarianceImpl(time2, strike);	8,429,509✔
104	QL_ENSURE(var2 >= var1,	8,429,509✔
105	"variances must be non-decreasing");
106	return std::sqrt((var2-var1)/(time2-time1));	8,429,509✔
107	}
108	}
109
110	Real BlackVolTermStructure::blackForwardVariance(const Date& date1,	49,893✔
111	const Date& date2,
112	Real strike,
113	bool extrapolate)
114	const {
115	// (redundant) date-based checks
116	QL_REQUIRE(date1 <= date2,	49,893✔
117	date1 << " later than " << date2);
118	checkRange(date2, extrapolate);	49,893✔
119
120	// using the time implementation
121	Time time1 = timeFromReference(date1);	49,893✔
122	Time time2 = timeFromReference(date2);	49,893✔
123	return blackForwardVariance(time1, time2, strike, extrapolate);	49,893✔
124	}
125
126	Real BlackVolTermStructure::blackForwardVariance(Time time1,	962,886✔
127	Time time2,
128	Real strike,
129	bool extrapolate) const {
130	QL_REQUIRE(time1 <= time2,	962,886✔
131	time1 << " later than " << time2);
132	checkRange(time2, extrapolate);	962,886✔
133	checkStrike(strike, extrapolate);	962,886✔
134	Real v1 = blackVarianceImpl(time1, strike);	962,886✔
135	Real v2 = blackVarianceImpl(time2, strike);	962,886✔
136	QL_ENSURE(v2 >= v1,	962,886✔
137	"variances must be non-decreasing");
138	return v2-v1;	962,886✔
139	}
140
141	BlackVolatilityTermStructure::BlackVolatilityTermStructure(	×
142	BusinessDayConvention bdc,
143	const DayCounter& dc)	×
144	: BlackVolTermStructure(bdc, dc) {}	×
145
146	BlackVolatilityTermStructure::BlackVolatilityTermStructure(	310,291✔
147	const Date& refDate,
148	const Calendar& cal,
149	BusinessDayConvention bdc,
150	const DayCounter& dc)	×
151	: BlackVolTermStructure(refDate, cal, bdc, dc) {}	310,291✔
152
153	BlackVolatilityTermStructure::BlackVolatilityTermStructure(	257✔
154	Natural settlementDays,
155	const Calendar& cal,
156	BusinessDayConvention bdc,
157	const DayCounter& dc)	×
158	: BlackVolTermStructure(settlementDays, cal, bdc, dc) {}	257✔
159
160	BlackVarianceTermStructure::BlackVarianceTermStructure(	20✔
161	BusinessDayConvention bdc,
162	const DayCounter& dc)	×
163	: BlackVolTermStructure(bdc, dc) {}	20✔
164
165	BlackVarianceTermStructure::BlackVarianceTermStructure(	43,569✔
166	const Date& refDate,
167	const Calendar& cal,
168	BusinessDayConvention bdc,
169	const DayCounter& dc)	×
170	: BlackVolTermStructure(refDate, cal, bdc, dc) {}	43,569✔
171
172	BlackVarianceTermStructure::BlackVarianceTermStructure(	×
173	Natural settlementDays,
174	const Calendar& cal,
175	BusinessDayConvention bdc,
176	const DayCounter& dc)	×
177	: BlackVolTermStructure(settlementDays, cal, bdc, dc) {}	×
178
179	ext::shared_ptr<SmileSection>
180	BlackVolTermStructure::smileSectionImpl(Time t) const {	4✔
181	try {
182	return ext::make_shared<BlackVolSmileSectionAdapter>(	3✔
183	#ifdef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
184	ext::dynamic_pointer_cast<const BlackVolTermStructure>(
185	shared_from_this()),
186	#else
187	shared_from_this(),	4✔
188	#endif
189	t);	3✔
190	} catch (const ext::bad_weak_ptr&) {	1✔
191	QL_FAIL("smileSection() requires the BlackVolTermStructure "	3✔
192	"to be held by a shared_ptr");
193	}	1✔
194	}
195
196	}

lballabio / QuantLib / 25787959715

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