Override atmLevel(Time) on Heston and Andreasen-Huge vol surfaces#2581
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lballabio merged 1 commit intoMay 19, 2026
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coverage: 74.575% (+0.002%) from 74.573% — quantales:equity-vol-surface-atmlevel into lballabio:master |
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Overrides the
atmLevel(Time t)virtual on twoBlackVolTermStructuresubclasses that already hold everything they need to return the forward.Tests:
HestonModelTests/testHestonBlackVolSurfaceAtmLevelassertssurface.atmLevel(t) == s0 * qDisc(t) / rDisc(t).AndreasenHugeVolatilityInterplTests/testAndreasenHugeVolatilityAdapterAtmLevelsame check on the AH adapter.