20#ifndef volatility_interpolation_specifier_abcd_hpp
21#define volatility_interpolation_specifier_abcd_hpp
23#include <ql/models/marketmodels/models/volatilityinterpolationspecifier.hpp>
24#include <ql/models/marketmodels/models/piecewiseconstantabcdvariance.hpp>
25#include <ql/types.hpp>
26#include <ql/shared_ptr.hpp>
38 const std::vector<Time>& timesForSmallRates,
39 Real lastCapletVol=0.0
47 const std::vector<ext::shared_ptr<PiecewiseConstantVariance> >&
49 const std::vector<ext::shared_ptr<PiecewiseConstantVariance> >&
Size getNoSmallRates() const override
std::vector< PiecewiseConstantAbcdVariance > originalABCDVariances_
std::vector< Time > timesForSmallRates_
Size getPeriod() const override
Size getNoBigRates() const override
void setScalingFactors(const std::vector< Real > &scales) override
std::vector< PiecewiseConstantAbcdVariance > originalABCDVariancesScaled_
void setLastCapletVol(Real vol) override
std::vector< ext::shared_ptr< PiecewiseConstantVariance > > interpolatedVariances_
std::vector< Real > scalingFactors_
~VolatilityInterpolationSpecifierabcd() override=default
Size getOffset() const override
const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > & interpolatedVariances() const override
const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > & originalVariances() const override
std::vector< ext::shared_ptr< PiecewiseConstantVariance > > originalVariances_
std::size_t Size
size of a container