public double volatility(double strike, VolatilityType volatilityType, double shift = 0.0)
{
if (volatilityType == volatilityType_ && Utils.close(shift, this.shift()))
{
return(volatility(strike));
}
double?atm = atmLevel();
Utils.QL_REQUIRE(atm != null, () => "smile section must provide atm level to compute converted volatilties");
Option.Type type = strike >= atm ? Option.Type.Call : Option.Type.Put;
double premium = optionPrice(strike, type);
double premiumAtm = optionPrice(atm.Value, type);
if (volatilityType == VolatilityType.ShiftedLognormal)
{
try
{
return(Utils.blackFormulaImpliedStdDev(type, strike, atm.Value, premium, 1.0, shift) /
Math.Sqrt(exerciseTime()));
}
catch (Exception)
{
return(Utils.blackFormulaImpliedStdDevChambers(type, strike, atm.Value, premium, premiumAtm, 1.0, shift) /
Math.Sqrt(exerciseTime()));
}
}
else
{
return(Utils.bachelierBlackFormulaImpliedVol(type, strike, atm.Value, exerciseTime(), premium));
}
}
