25#ifndef quantlib_andreasen_huge_volatility_adapter_hpp
26#define quantlib_andreasen_huge_volatility_adapter_hpp
31 class AndreasenHugeVolatilityInterpl;
36 ext::shared_ptr<AndreasenHugeVolatilityInterpl> volInterpl,
Real eps = 1e-6);
52 const ext::shared_ptr<AndreasenHugeVolatilityInterpl>
volInterpl_;
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
Black variance term structure.
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer