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%)

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70.97

/ql/termstructures/volatility/swaption/swaptionconstantvol.cpp

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

/*
 Copyright (C) 2008 Ferdinando Ametrano
 Copyright (C) 2006, 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/swaption/swaptionconstantvol.hpp>
#include <utility>

namespace QuantLib {

    // floating reference date, floating market data
    ConstantSwaptionVolatility::ConstantSwaptionVolatility(Natural settlementDays,
                                                           const Calendar& cal,
                                                           BusinessDayConvention bdc,
                                                           Handle<Quote> vol,
                                                           const DayCounter& dc,
                                                           const VolatilityType type,
                                                           const Real shift)
    : SwaptionVolatilityStructure(settlementDays, cal, bdc, dc), volatility_(std::move(vol)),
      maxSwapTenor_(100 * Years), volatilityType_(type), shift_(shift) {
        registerWith(volatility_);
    }

    // fixed reference date, floating market data
    ConstantSwaptionVolatility::ConstantSwaptionVolatility(const Date& referenceDate,
                                                           const Calendar& cal,
                                                           BusinessDayConvention bdc,
                                                           Handle<Quote> vol,
                                                           const DayCounter& dc,
                                                           const VolatilityType type,
                                                           const Real shift)
    : SwaptionVolatilityStructure(referenceDate, cal, bdc, dc), volatility_(std::move(vol)),
      maxSwapTenor_(100 * Years), volatilityType_(type), shift_(shift) {
        registerWith(volatility_);
    }

    // floating reference date, fixed market data
    ConstantSwaptionVolatility::ConstantSwaptionVolatility(
                                                    Natural settlementDays,
                                                    const Calendar& cal,
                                                    BusinessDayConvention bdc,
                                                    Volatility vol,
                                                    const DayCounter& dc,
                                                    const VolatilityType type,
                                                    const Real shift)
    : SwaptionVolatilityStructure(settlementDays, cal, bdc, dc),
      volatility_(ext::make_shared<SimpleQuote>(vol)),
      maxSwapTenor_(100*Years), volatilityType_(type), shift_(shift) {}

    // fixed reference date, fixed market data
    ConstantSwaptionVolatility::ConstantSwaptionVolatility(
                                                    const Date& referenceDate,
                                                    const Calendar& cal,
                                                    BusinessDayConvention bdc,
                                                    Volatility vol,
                                                    const DayCounter& dc,
                                                    const VolatilityType type,
                                                    const Real shift)
    : SwaptionVolatilityStructure(referenceDate, cal, bdc, dc),
      volatility_(ext::make_shared<SimpleQuote>(vol)),
      maxSwapTenor_(100*Years), volatilityType_(type), shift_(shift) {}

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

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

    Volatility ConstantSwaptionVolatility::volatilityImpl(const Date&,
                                                          const Period&,
                                                          Rate) const {
        return volatility_->value();
    }

    Volatility ConstantSwaptionVolatility::volatilityImpl(Time,
                                                          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) 2006, 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/swaption/swaptionconstantvol.hpp>
25	#include <utility>
26
27	namespace QuantLib {
28
29	// floating reference date, floating market data
30	ConstantSwaptionVolatility::ConstantSwaptionVolatility(Natural settlementDays,	391,642✔
31	const Calendar& cal,
32	BusinessDayConvention bdc,
33	Handle<Quote> vol,
34	const DayCounter& dc,
35	const VolatilityType type,
36	const Real shift)	391,642✔
37	: SwaptionVolatilityStructure(settlementDays, cal, bdc, dc), volatility_(std::move(vol)),
38	maxSwapTenor_(100 * Years), volatilityType_(type), shift_(shift) {	391,642✔
39	registerWith(volatility_);	391,642✔
40	}	391,642✔
41
42	// fixed reference date, floating market data
43	ConstantSwaptionVolatility::ConstantSwaptionVolatility(const Date& referenceDate,	×
44	const Calendar& cal,
45	BusinessDayConvention bdc,
46	Handle<Quote> vol,
47	const DayCounter& dc,
48	const VolatilityType type,
49	const Real shift)	×
50	: SwaptionVolatilityStructure(referenceDate, cal, bdc, dc), volatility_(std::move(vol)),
51	maxSwapTenor_(100 * Years), volatilityType_(type), shift_(shift) {	×
52	registerWith(volatility_);	×
53	}	×
54
55	// floating reference date, fixed market data
56	ConstantSwaptionVolatility::ConstantSwaptionVolatility(	15✔
57	Natural settlementDays,
58	const Calendar& cal,
59	BusinessDayConvention bdc,
60	Volatility vol,
61	const DayCounter& dc,
62	const VolatilityType type,
63	const Real shift)	15✔
64	: SwaptionVolatilityStructure(settlementDays, cal, bdc, dc),
65	volatility_(ext::make_shared<SimpleQuote>(vol)),	30✔
66	maxSwapTenor_(100*Years), volatilityType_(type), shift_(shift) {}	30✔
67
68	// fixed reference date, fixed market data
69	ConstantSwaptionVolatility::ConstantSwaptionVolatility(	15✔
70	const Date& referenceDate,
71	const Calendar& cal,
72	BusinessDayConvention bdc,
73	Volatility vol,
74	const DayCounter& dc,
75	const VolatilityType type,
76	const Real shift)	15✔
77	: SwaptionVolatilityStructure(referenceDate, cal, bdc, dc),
78	volatility_(ext::make_shared<SimpleQuote>(vol)),	30✔
79	maxSwapTenor_(100*Years), volatilityType_(type), shift_(shift) {}	30✔
80
81	ext::shared_ptr<SmileSection>
82	ConstantSwaptionVolatility::smileSectionImpl(const Date& d,	363✔
83	const Period&) const {
84	Volatility atmVol = volatility_->value();	363✔
85	return ext::make_shared<FlatSmileSection>(	363✔
86	d, atmVol, dayCounter(), referenceDate(), Null<Rate>(),	363✔
87	volatilityType_, shift_);	726✔
88	}
89
90	ext::shared_ptr<SmileSection>
91	ConstantSwaptionVolatility::smileSectionImpl(Time optionTime,	×
92	Time) const {
93	Volatility atmVol = volatility_->value();	×
NEW 94	return ext::make_shared<FlatSmileSection>(	×
NEW 95	optionTime, atmVol, dayCounter(), Null<Rate>(), volatilityType_, shift_);	×
96	}
97
98	Volatility ConstantSwaptionVolatility::volatilityImpl(const Date&,	518✔
99	const Period&,
100	Rate) const {
101	return volatility_->value();	518✔
102	}
103
104	Volatility ConstantSwaptionVolatility::volatilityImpl(Time,	616,937✔
105	Time,
106	Rate) const {
107	return volatility_->value();	616,937✔
108	}
109
110	}

lballabio / QuantLib / 27081312717

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