noarbsabrswaptionvolatilitycube.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2014 Peter Caspers
 Copyright (C) 2023 Ignacio Anguita
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
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 This program is distributed in the hope that it will be useful, but WITHOUT
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*/
 
/*! \file noarbsabrswaptionvolatilitycube.hpp
    \brief Swaption volatility cube, fit-early-interpolate-later approach
           using the No Arbitrage Sabr model (Doust)
*/
 
#ifndef quantlib_noarb_sabr_swaption_volatility_cube_hpp
#define quantlib_noarb_sabr_swaption_volatility_cube_hpp
 
#include <ql/termstructures/volatility/swaption/sabrswaptionvolatilitycube.hpp>
#include <ql/experimental/volatility/noarbsabrinterpolation.hpp>
 
namespace QuantLib {
 
    struct SwaptionVolCubeNoArbSabrModel {
        typedef NoArbSabrInterpolation Interpolation;
        typedef NoArbSabrSmileSection SmileSection;
    };
 
    //! no-arbitrage SABR volatility cube for swaptions
    typedef XabrSwaptionVolatilityCube<SwaptionVolCubeNoArbSabrModel> NoArbSabrSwaptionVolatilityCube;
 
}
 
#endif