24#ifndef quantlib_noarbsabr_interpolated_smile_section_hpp
25#define quantlib_noarbsabr_interpolated_smile_section_hpp
43 const Date& optionDate,
45 const std::vector<Rate>& strikes,
46 bool hasFloatingStrikes,
53 bool isAlphaFixed =
false,
54 bool isBetaFixed =
false,
55 bool isNuFixed =
false,
56 bool isRhoFixed =
false,
57 bool vegaWeighted =
true,
58 ext::shared_ptr<EndCriteria>
endCriteria = ext::shared_ptr<EndCriteria>(),
59 ext::shared_ptr<OptimizationMethod> method = ext::shared_ptr<OptimizationMethod>(),
63 const Date& optionDate,
65 const std::vector<Rate>& strikes,
66 bool hasFloatingStrikes,
68 const std::vector<Volatility>& vols,
73 bool isAlphaFixed =
false,
74 bool isBetaFixed =
false,
75 bool isNuFixed =
false,
76 bool isRhoFixed =
false,
77 bool vegaWeighted =
true,
78 ext::shared_ptr<EndCriteria>
endCriteria = ext::shared_ptr<EndCriteria>(),
79 ext::shared_ptr<OptimizationMethod> method = ext::shared_ptr<OptimizationMethod>(),
122 mutable std::vector<Volatility>
vols_;
129 const ext::shared_ptr<OptimizationMethod>
method_;
Actual/365 (Fixed) day counter.
Actual/365 (Fixed) day count convention.
Shared handle to an observable.
Framework for calculation on demand and result caching.
virtual void calculate() const
Real atmLevel() const override
const Handle< Quote > forward_
Market data.
void performCalculations() const override
const ext::shared_ptr< EndCriteria > endCriteria_
bool isAlphaFixed_
Sabr interpolation settings.
Real minStrike() const override
EndCriteria::Type endCriteria() const
void createInterpolation() const
Creates the mutable SABRInterpolation.
std::vector< Rate > actualStrikes_
Only strikes corresponding to valid market data.
const ext::shared_ptr< OptimizationMethod > method_
Real varianceImpl(Rate strike) const override
Real alpha_
Sabr parameters.
std::vector< Volatility > vols_
ext::shared_ptr< NoArbSabrInterpolation > noArbSabrInterpolation_
std::vector< Rate > strikes_
const Handle< Quote > atmVolatility_
Real maxStrike() const override
std::vector< Handle< Quote > > volHandles_
Volatility volatilityImpl(Rate strike) const override
interest rate volatility smile section
Real Volatility
volatility
Globally accessible relinkable pointer.
framework for calculation on demand and result caching
noabr sabr interpolation between discrete points
Smile section base class.