20#include <ql/math/solvers1d/newtonsafe.hpp>
21#include <ql/termstructures/volatility/gaussian1dsmilesection.hpp>
22#include <ql/termstructures/volatility/swaption/gaussian1dswaptionvolatility.hpp>
30 ext::shared_ptr<SwapIndex> indexBase,
31 const ext::shared_ptr<Gaussian1dModel>& model,
33 ext::shared_ptr<Gaussian1dSwaptionEngine> swaptionEngine)
35 indexBase_(
std::move(indexBase)), model_(model), engine_(
std::move(swaptionEngine)),
36 maxSwapTenor_(100 *
Years) {}
38 ext::shared_ptr<SmileSection>
40 ext::shared_ptr<SmileSection> tmp = ext::make_shared<Gaussian1dSmileSection>(
45ext::shared_ptr<SmileSection>
47 Time swapLength)
const {
std::int_fast32_t serial_type
serial number type
Gaussian1dSwaptionVolatility(const Calendar &cal, BusinessDayConvention bdc, ext::shared_ptr< SwapIndex > indexBase, const ext::shared_ptr< Gaussian1dModel > &model, const DayCounter &dc, ext::shared_ptr< Gaussian1dSwaptionEngine > swaptionEngine=ext::shared_ptr< Gaussian1dSwaptionEngine >())
ext::shared_ptr< Gaussian1dSwaptionEngine > engine_
ext::shared_ptr< SmileSection > smileSectionImpl(const Date &, const Period &) const override
Volatility volatilityImpl(const Date &, const Period &, Rate) const override
ext::shared_ptr< Gaussian1dModel > model_
ext::shared_ptr< SwapIndex > indexBase_
Real solve(const F &f, Real accuracy, Real guess, Real step) const
Swaption-volatility structure
Time swapLength(const Period &swapTenor) const
implements the conversion between swap tenor and swap (time) length
virtual const Date & referenceDate() const
the date at which discount = 1.0 and/or variance = 0.0
BusinessDayConvention
Business Day conventions.
Real Time
continuous quantity with 1-year units
Real Volatility
volatility
QL_INTEGER Integer
integer number