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
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72.22

/ql/termstructures/volatility/swaption/spreadedswaptionvol.cpp

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

/*
 Copyright (C) 2008 Ferdinando Ametrano
 Copyright (C) 2007 Giorgio Facchinetti

 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/quote.hpp>
#include <ql/termstructures/volatility/spreadedsmilesection.hpp>
#include <ql/termstructures/volatility/swaption/spreadedswaptionvol.hpp>
#include <utility>

namespace QuantLib {

    SpreadedSwaptionVolatility::SpreadedSwaptionVolatility(
        const Handle<SwaptionVolatilityStructure>& baseVol, Handle<Quote> spread)
    : SwaptionVolatilityStructure(baseVol->businessDayConvention(), baseVol->dayCounter()),
      baseVol_(baseVol), spread_(std::move(spread)) {
        enableExtrapolation(baseVol->allowsExtrapolation());
        registerWith(baseVol_);
        registerWith(spread_);
    }

    ext::shared_ptr<SmileSection>
    SpreadedSwaptionVolatility::smileSectionImpl(const Date& d,
                                                 const Period& swapT) const {
        ext::shared_ptr<SmileSection> baseSmile =
            baseVol_->smileSection(d, swapT, true);
        return ext::make_shared<SpreadedSmileSection>(baseSmile, spread_);
    }

    ext::shared_ptr<SmileSection>
    SpreadedSwaptionVolatility::smileSectionImpl(Time optionTime,
                                                 Time swapLength) const {
        ext::shared_ptr<SmileSection> baseSmile =
            baseVol_->smileSection(optionTime, swapLength, true);
        return ext::make_shared<SpreadedSmileSection>(baseSmile, spread_);
    }

    Volatility SpreadedSwaptionVolatility::volatilityImpl(const Date& d,
                                                          const Period& p,
                                                          Rate strike) const {
        return baseVol_->volatility(d, p, strike, true) + spread_->value();
    }

    Volatility SpreadedSwaptionVolatility::volatilityImpl(Time t,
                                                          Time l,
                                                          Rate strike) const {
        return baseVol_->volatility(t, l, strike, true) + spread_->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) 2007 Giorgio Facchinetti
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/quote.hpp>
22	#include <ql/termstructures/volatility/spreadedsmilesection.hpp>
23	#include <ql/termstructures/volatility/swaption/spreadedswaptionvol.hpp>
24	#include <utility>
25
26	namespace QuantLib {
27
28	SpreadedSwaptionVolatility::SpreadedSwaptionVolatility(	1✔
29	const Handle<SwaptionVolatilityStructure>& baseVol, Handle<Quote> spread)	1✔
30	: SwaptionVolatilityStructure(baseVol->businessDayConvention(), baseVol->dayCounter()),	1✔
31	baseVol_(baseVol), spread_(std::move(spread)) {	3✔
32	enableExtrapolation(baseVol->allowsExtrapolation());	1✔
33	registerWith(baseVol_);	2✔
34	registerWith(spread_);	1✔
35	}	1✔
36
37	ext::shared_ptr<SmileSection>
38	SpreadedSwaptionVolatility::smileSectionImpl(const Date& d,	9✔
39	const Period& swapT) const {
40	ext::shared_ptr<SmileSection> baseSmile =
41	baseVol_->smileSection(d, swapT, true);	9✔
42	return ext::make_shared<SpreadedSmileSection>(baseSmile, spread_);	18✔
43	}
44
45	ext::shared_ptr<SmileSection>
46	SpreadedSwaptionVolatility::smileSectionImpl(Time optionTime,	×
47	Time swapLength) const {
48	ext::shared_ptr<SmileSection> baseSmile =
49	baseVol_->smileSection(optionTime, swapLength, true);	×
NEW 50	return ext::make_shared<SpreadedSmileSection>(baseSmile, spread_);	×
51	}
52
53	Volatility SpreadedSwaptionVolatility::volatilityImpl(const Date& d,	891✔
54	const Period& p,
55	Rate strike) const {
56	return baseVol_->volatility(d, p, strike, true) + spread_->value();	891✔
57	}
58
59	Volatility SpreadedSwaptionVolatility::volatilityImpl(Time t,	×
60	Time l,
61	Rate strike) const {
62	return baseVol_->volatility(t, l, strike, true) + spread_->value();	×
63	}
64
65	}

lballabio / QuantLib / 27081312717

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