QuantLib: a free/open-source library for quantitative finance
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andreasenhugevolatilityadapter.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2017 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file andreasenhugevolatilityadapter.hpp
21 \brief Implements the BlackVolTermStructure interface based on a
22 Andreasen-Huge volatility interpolation
23*/
24
25#ifndef quantlib_andreasen_huge_volatility_adapter_hpp
26#define quantlib_andreasen_huge_volatility_adapter_hpp
27
29
30namespace QuantLib {
31 class AndreasenHugeVolatilityInterpl;
32
34 public:
36 ext::shared_ptr<AndreasenHugeVolatilityInterpl> volInterpl, Real eps = 1e-6);
37
38 Date maxDate() const override;
39 Real minStrike() const override;
40 Real maxStrike() const override;
41
42 Calendar calendar() const override;
43 DayCounter dayCounter() const override;
44 Natural settlementDays() const override;
45 const Date& referenceDate() const override;
46
47 protected:
48 Real blackVarianceImpl(Time t, Real strike) const override;
49
50 private:
51 const Real eps_;
52 const ext::shared_ptr<AndreasenHugeVolatilityInterpl> volInterpl_;
53 };
54}
55
56
57#endif
Black volatility curve modelled as variance curve.
Calendar calendar() const override
the calendar used for reference and/or option date calculation
const Date & referenceDate() const override
the date at which discount = 1.0 and/or variance = 0.0
Real minStrike() const override
the minimum strike for which the term structure can return vols
const ext::shared_ptr< AndreasenHugeVolatilityInterpl > volInterpl_
Natural settlementDays() const override
the settlementDays used for reference date calculation
DayCounter dayCounter() const override
the day counter used for date/time conversion
Date maxDate() const override
the latest date for which the curve can return values
Real blackVarianceImpl(Time t, Real strike) const override
Black variance calculation.
Real maxStrike() const override
the maximum strike for which the term structure can return vols
calendar class
Definition: calendar.hpp:61
Concrete date class.
Definition: date.hpp:125
day counter class
Definition: daycounter.hpp:44
const DefaultType & t
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Definition: any.hpp:35