27081312717

Committed 07 Jun 2026 03:17AM UTC coverage: 74.801% (+0.004%) from 74.797%

Build # 27081312717

Build Type

Pull #2619

github

Committed by

web-flow

Commit Message

Merge d8f820f5b into 5111c3a14

Pull Request Pull Request #2619: Use make_shared in volatility-related code

Coverage Stats

54 of 72 new or added lines in 22 files covered. (75.0%)

1 existing line in 1 file now uncovered.

59143 of 79067 relevant lines covered (74.8%)

8576610.57 hits per line

Source File
Press 'n' to go to next uncovered line, 'b' for previous

88.89

/ql/termstructures/volatility/optionlet/constantoptionletvol.cpp

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

/*
 Copyright (C) 2008 Ferdinando Ametrano
 Copyright (C) 2004, 2005, 2007 StatPro Italia srl
 Copyright (C) 2015 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
 <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/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>
#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
#include <utility>

namespace QuantLib {

    // floating reference date, floating market data
    ConstantOptionletVolatility::ConstantOptionletVolatility(Natural settlementDays,
                                                             const Calendar& cal,
                                                             BusinessDayConvention bdc,
                                                             Handle<Quote> vol,
                                                             const DayCounter& dc,
                                                             VolatilityType type,
                                                             Real displacement)
    : OptionletVolatilityStructure(settlementDays, cal, bdc, dc), volatility_(std::move(vol)),
      type_(type), displacement_(displacement) {
        registerWith(volatility_);
    }

    // fixed reference date, floating market data
    ConstantOptionletVolatility::ConstantOptionletVolatility(const Date& referenceDate,
                                                             const Calendar& cal,
                                                             BusinessDayConvention bdc,
                                                             Handle<Quote> vol,
                                                             const DayCounter& dc,
                                                             VolatilityType type,
                                                             Real displacement)
    : OptionletVolatilityStructure(referenceDate, cal, bdc, dc), volatility_(std::move(vol)),
      type_(type), displacement_(displacement) {
        registerWith(volatility_);
    }

    // floating reference date, fixed market data
    ConstantOptionletVolatility::ConstantOptionletVolatility(
        Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc,
        Volatility vol, const DayCounter &dc, VolatilityType type,
        Real displacement)
        : OptionletVolatilityStructure(settlementDays, cal, bdc, dc),
          volatility_(ext::make_shared<SimpleQuote>(vol)),
          type_(type), displacement_(displacement) {}

    // fixed reference date, fixed market data
    ConstantOptionletVolatility::ConstantOptionletVolatility(
        const Date &referenceDate, const Calendar &cal,
        BusinessDayConvention bdc, Volatility vol, const DayCounter &dc,
        VolatilityType type, Real displacement)
        : OptionletVolatilityStructure(referenceDate, cal, bdc, dc),
          volatility_(ext::make_shared<SimpleQuote>(vol)),
          type_(type), displacement_(displacement) {}

    ext::shared_ptr<SmileSection>
    ConstantOptionletVolatility::smileSectionImpl(const Date& d) const {
        Volatility atmVol = volatility_->value();
        return ext::make_shared<FlatSmileSection>(
            d, atmVol, dayCounter(), referenceDate());
    }

    ext::shared_ptr<SmileSection>
    ConstantOptionletVolatility::smileSectionImpl(Time optionTime) const {
        Volatility atmVol = volatility_->value();
        return ext::make_shared<FlatSmileSection>(optionTime, atmVol, dayCounter());
    }

    Volatility ConstantOptionletVolatility::volatilityImpl(Time,
                                                    Rate) const {
        return volatility_->value();
    }

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2008 Ferdinando Ametrano
5	Copyright (C) 2004, 2005, 2007 StatPro Italia srl
6	Copyright (C) 2015 Peter Caspers
7
8	This file is part of QuantLib, a free-software/open-source library
9	for financial quantitative analysts and developers - http://quantlib.org/
10
11	QuantLib is free software: you can redistribute it and/or modify it
12	under the terms of the QuantLib license. You should have received a
13	copy of the license along with this program; if not, please email
14	<quantlib-dev@lists.sf.net>. The license is also available online at
15	<https://www.quantlib.org/license.shtml>.
16
17	This program is distributed in the hope that it will be useful, but WITHOUT
18	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19	FOR A PARTICULAR PURPOSE. See the license for more details.
20	*/
21
22	#include <ql/quotes/simplequote.hpp>
23	#include <ql/termstructures/volatility/flatsmilesection.hpp>
24	#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
25	#include <utility>
26
27	namespace QuantLib {
28
29	// floating reference date, floating market data
30	ConstantOptionletVolatility::ConstantOptionletVolatility(Natural settlementDays,	100,441✔
31	const Calendar& cal,
32	BusinessDayConvention bdc,
33	Handle<Quote> vol,
34	const DayCounter& dc,
35	VolatilityType type,
36	Real displacement)	100,441✔
37	: OptionletVolatilityStructure(settlementDays, cal, bdc, dc), volatility_(std::move(vol)),
38	type_(type), displacement_(displacement) {	100,441✔
39	registerWith(volatility_);	100,441✔
40	}	100,441✔
41
42	// fixed reference date, floating market data
43	ConstantOptionletVolatility::ConstantOptionletVolatility(const Date& referenceDate,	7✔
44	const Calendar& cal,
45	BusinessDayConvention bdc,
46	Handle<Quote> vol,
47	const DayCounter& dc,
48	VolatilityType type,
49	Real displacement)	7✔
50	: OptionletVolatilityStructure(referenceDate, cal, bdc, dc), volatility_(std::move(vol)),
51	type_(type), displacement_(displacement) {	7✔
52	registerWith(volatility_);	7✔
53	}	7✔
54
55	// floating reference date, fixed market data
56	ConstantOptionletVolatility::ConstantOptionletVolatility(	777✔
57	Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc,
58	Volatility vol, const DayCounter &dc, VolatilityType type,
59	Real displacement)	777✔
60	: OptionletVolatilityStructure(settlementDays, cal, bdc, dc),
61	volatility_(ext::make_shared<SimpleQuote>(vol)),	1,554✔
62	type_(type), displacement_(displacement) {}	1,554✔
63
64	// fixed reference date, fixed market data
65	ConstantOptionletVolatility::ConstantOptionletVolatility(	18✔
66	const Date &referenceDate, const Calendar &cal,
67	BusinessDayConvention bdc, Volatility vol, const DayCounter &dc,
68	VolatilityType type, Real displacement)	18✔
69	: OptionletVolatilityStructure(referenceDate, cal, bdc, dc),
70	volatility_(ext::make_shared<SimpleQuote>(vol)),	36✔
71	type_(type), displacement_(displacement) {}	36✔
72
73	ext::shared_ptr<SmileSection>
74	ConstantOptionletVolatility::smileSectionImpl(const Date& d) const {	20✔
75	Volatility atmVol = volatility_->value();	20✔
76	return ext::make_shared<FlatSmileSection>(	20✔
77	d, atmVol, dayCounter(), referenceDate());	40✔
78	}
79
80	ext::shared_ptr<SmileSection>
81	ConstantOptionletVolatility::smileSectionImpl(Time optionTime) const {	×
82	Volatility atmVol = volatility_->value();	×
NEW 83	return ext::make_shared<FlatSmileSection>(optionTime, atmVol, dayCounter());	×
84	}
85
86	Volatility ConstantOptionletVolatility::volatilityImpl(Time,	1,236,239✔
87	Rate) const {
88	return volatility_->value();	1,236,239✔
89	}
90
91	}

lballabio / QuantLib / 27081312717

Source File Press 'n' to go to next uncovered line, 'b' for previous

Source File
Press 'n' to go to next uncovered line, 'b' for previous