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Add smileSection() to BlackVolTermStructure with default adapter
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‎ql/termstructures/volatility/equityfx/blackvoltermstructure.cpp‎

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/*
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Copyright (C) 2002, 2003 Ferdinando Ametrano
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Copyright (C) 2026 Yassine Idyiahia
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
@@ -18,9 +19,30 @@
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*/
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#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
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#include <ql/termstructures/volatility/smilesection.hpp>
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namespace QuantLib {
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namespace {
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class BlackVolSmileSectionAdapter : public SmileSection {
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public:
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BlackVolSmileSectionAdapter(const BlackVolTermStructure& vol,
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Time t)
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: SmileSection(t, vol.dayCounter()), vol_(vol) {}
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Real minStrike() const override { return vol_.minStrike(); }
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Real maxStrike() const override { return vol_.maxStrike(); }
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Real atmLevel() const override { return Null<Real>(); }
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protected:
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Volatility volatilityImpl(Rate strike) const override {
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return vol_.blackVol(exerciseTime(), strike, true);
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}
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private:
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const BlackVolTermStructure& vol_;
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};
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}
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BlackVolTermStructure::BlackVolTermStructure(BusinessDayConvention bdc,
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const DayCounter& dc)
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: VolatilityTermStructure(bdc, dc) {}
@@ -151,4 +173,9 @@ namespace QuantLib {
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const DayCounter& dc)
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: BlackVolTermStructure(settlementDays, cal, bdc, dc) {}
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ext::shared_ptr<SmileSection>
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BlackVolTermStructure::smileSectionImpl(Time t) const {
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return ext::make_shared<BlackVolSmileSectionAdapter>(*this, t);
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}
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}

‎ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp‎

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/*
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Copyright (C) 2002, 2003 Ferdinando Ametrano
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Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
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Copyright (C) 2026 Yassine Idyiahia
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
@@ -30,6 +31,8 @@
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namespace QuantLib {
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class SmileSection;
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//! Black-volatility term structure
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/*! This abstract class defines the interface of concrete
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Black-volatility term structures which will be derived from
@@ -102,6 +105,15 @@ namespace QuantLib {
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Real strike,
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bool extrapolate = false) const;
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//@}
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//! \name Smile
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//@{
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//! returns the smile for a given option date
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ext::shared_ptr<SmileSection> smileSection(const Date& maturity,
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bool extrapolate = false) const;
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//! returns the smile for a given option time
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ext::shared_ptr<SmileSection> smileSection(Time maturity,
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bool extrapolate = false) const;
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//@}
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//! \name Visitability
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//@{
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virtual void accept(AcyclicVisitor&);
@@ -119,6 +131,13 @@ namespace QuantLib {
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virtual Real blackVarianceImpl(Time t, Real strike) const = 0;
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//! Black volatility calculation
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virtual Volatility blackVolImpl(Time t, Real strike) const = 0;
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/*! Smile section calculation. The default implementation wraps
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the vol surface into a SmileSection adapter; the returned
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object holds a reference to \c *this and must not outlive it.
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Derived classes with a native smile representation can override
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to return self-contained objects.
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*/
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virtual ext::shared_ptr<SmileSection> smileSectionImpl(Time t) const;
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//@}
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};
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@@ -248,6 +267,20 @@ namespace QuantLib {
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return blackVarianceImpl(t, strike);
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}
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inline ext::shared_ptr<SmileSection>
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BlackVolTermStructure::smileSection(const Date& d,
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bool extrapolate) const {
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checkRange(d, extrapolate);
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return smileSectionImpl(timeFromReference(d));
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}
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inline ext::shared_ptr<SmileSection>
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BlackVolTermStructure::smileSection(Time t,
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bool extrapolate) const {
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checkRange(t, extrapolate);
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return smileSectionImpl(t);
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}
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inline void BlackVolTermStructure::accept(AcyclicVisitor& v) {
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auto* v1 = dynamic_cast<Visitor<BlackVolTermStructure>*>(&v);
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if (v1 != nullptr)

‎ql/termstructures/volatility/equityfx/piecewiseblackvariancesurface.cpp‎

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/*
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Copyright (C) 2026 Rich Amaya
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Copyright (C) 2026 Yassine Idyiahia
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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*/
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#include <ql/termstructures/volatility/equityfx/piecewiseblackvariancesurface.hpp>
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#include <ql/math/comparison.hpp>
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#include <ql/math/interpolations/linearinterpolation.hpp>
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#include <ql/termstructures/volatility/interpolatedsmilesection.hpp>
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#include <ql/utilities/null.hpp>
@@ -157,6 +159,14 @@ namespace QuantLib {
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referenceDate, dates, std::move(sections), dc);
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}
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ext::shared_ptr<SmileSection>
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PiecewiseBlackVarianceSurface::smileSectionImpl(Time t) const {
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auto it = std::lower_bound(times_.begin(), times_.end(), t);
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if (it != times_.end() && close_enough(t, *it))
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return smileSections_[std::distance(times_.begin(), it)];
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return BlackVarianceTermStructure::smileSectionImpl(t);
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}
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void PiecewiseBlackVarianceSurface::accept(AcyclicVisitor& v) {
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auto* v1 = dynamic_cast<Visitor<PiecewiseBlackVarianceSurface>*>(&v);
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if (v1 != nullptr)

‎ql/termstructures/volatility/equityfx/piecewiseblackvariancesurface.hpp‎

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/*
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Copyright (C) 2026 Rich Amaya
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Copyright (C) 2026 Yassine Idyiahia
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
@@ -76,6 +77,7 @@ namespace QuantLib {
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protected:
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Real blackVarianceImpl(Time t, Real strike) const override;
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ext::shared_ptr<SmileSection> smileSectionImpl(Time t) const override;
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private:
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Real sectionVariance(Size i, Real strike) const;

‎test-suite/piecewiseblackvariancesurface.cpp‎

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@@ -1105,6 +1105,109 @@ BOOST_AUTO_TEST_CASE(testLocalVolFdPricingFromSabrSmiles) {
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}
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}
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BOOST_AUTO_TEST_CASE(testSmileSectionFromBlackVolSurface) {
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BOOST_TEST_MESSAGE(
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"Testing SmileSection extraction from BlackVolTermStructure...");
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Date today(15, January, 2026);
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Settings::instance().evaluationDate() = today;
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DayCounter dc = Actual365Fixed();
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// 1. Vol-native surface (default adapter path)
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// BlackConstantVol has no native SmileSection — the base class
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// adapter wraps blackVol() into a SmileSection on the fly.
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Volatility flatVol = 0.20;
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auto constVol = ext::make_shared<BlackConstantVol>(today, NullCalendar(),
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flatVol, dc);
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Date maturity = today + 1*Years;
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auto smile = constVol->smileSection(maturity);
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Real tolerance = 1.0e-12;
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for (Real strike : {80.0, 100.0, 120.0}) {
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Volatility v = smile->volatility(strike);
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if (std::fabs(v - flatVol) > tolerance)
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BOOST_FAIL("vol-native: failed to reproduce flat vol"
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<< std::fixed << std::setprecision(12)
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<< "\n strike: " << strike
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<< "\n expected: " << flatVol
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<< "\n calculated: " << v);
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}
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// 2. Smile-native surface, at a stored tenor (override path)
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// PiecewiseBlackVarianceSurface stores SmileSection objects and
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// overrides smileSectionImpl() to return them directly at stored tenors.
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Date d1 = today + 6*Months;
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Date d2 = today + 1*Years;
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std::vector<Real> strikes = {80.0, 90.0, 100.0, 110.0, 120.0};
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std::vector<Real> vols1 = {0.30, 0.25, 0.20, 0.22, 0.28};
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std::vector<Real> vols2 = {0.28, 0.23, 0.19, 0.21, 0.26};
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Time T1 = dc.yearFraction(today, d1);
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Time T2 = dc.yearFraction(today, d2);
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Real sqrtT1 = std::sqrt(T1);
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Real sqrtT2 = std::sqrt(T2);
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std::vector<Real> stdDevs1, stdDevs2;
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for (auto v : vols1)
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stdDevs1.push_back(v * sqrtT1);
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for (auto v : vols2)
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stdDevs2.push_back(v * sqrtT2);
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auto section1 = ext::make_shared<InterpolatedSmileSection<Linear>>(
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d1, strikes, stdDevs1, 100.0, dc, Linear(), today);
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auto section2 = ext::make_shared<InterpolatedSmileSection<Linear>>(
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d2, strikes, stdDevs2, 100.0, dc, Linear(), today);
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auto surface = ext::make_shared<PiecewiseBlackVarianceSurface>(
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today, std::vector<Date>{d1, d2},
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std::vector<ext::shared_ptr<SmileSection>>{section1, section2}, dc);
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// At a stored tenor: should return the same SmileSection object (pointer equality)
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auto smile1 = surface->smileSection(d1);
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if (smile1.get() != section1.get())
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BOOST_FAIL("at stored tenor: smileSection(d1) did not return "
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"the stored SmileSection (pointer mismatch)");
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auto smile2 = surface->smileSection(d2);
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if (smile2.get() != section2.get())
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BOOST_FAIL("at stored tenor: smileSection(d2) did not return "
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"the stored SmileSection (pointer mismatch)");
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// At a stored tenor: volatilities should match exactly
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for (Size i = 0; i < strikes.size(); ++i) {
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Volatility surfaceVol = surface->blackVol(d1, strikes[i]);
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Volatility sectionVol = smile1->volatility(strikes[i]);
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if (std::fabs(surfaceVol - sectionVol) > tolerance)
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BOOST_FAIL("at stored tenor: vol mismatch"
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<< std::fixed << std::setprecision(12)
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<< "\n strike: " << strikes[i]
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<< "\n surface vol: " << surfaceVol
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<< "\n section vol: " << sectionVol);
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}
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// 3. Smile-native surface, between tenors (adapter fallback path)
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// Between stored tenors, smileSectionImpl() falls back to the
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// default adapter which queries blackVol() per strike.
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Date dMid = today + 9*Months;
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auto smileMid = surface->smileSection(dMid);
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// Between tenors: should NOT be either stored section (it's an adapter)
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if (smileMid.get() == section1.get() || smileMid.get() == section2.get())
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BOOST_FAIL("between tenors: smileSection(dMid) should not "
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"return a stored SmileSection");
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// Between tenors: adapter should reproduce blackVol() at each strike
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for (Size i = 0; i < strikes.size(); ++i) {
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Volatility surfaceVol = surface->blackVol(dMid, strikes[i]);
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Volatility sectionVol = smileMid->volatility(strikes[i]);
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if (std::fabs(surfaceVol - sectionVol) > tolerance)
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BOOST_FAIL("between tenors: vol mismatch"
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<< std::fixed << std::setprecision(12)
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<< "\n strike: " << strikes[i]
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<< "\n surface vol: " << surfaceVol
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<< "\n section vol: " << sectionVol);
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}
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}
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BOOST_AUTO_TEST_SUITE_END()
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BOOST_AUTO_TEST_SUITE_END()

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