26#ifndef quantlib_zabr_hpp
27#define quantlib_zabr_hpp
29#include <ql/types.hpp>
30#include <ql/math/statistics/incrementalstatistics.hpp>
31#include <ql/math/interpolations/linearinterpolation.hpp>
32#include <ql/math/interpolations/cubicinterpolation.hpp>
33#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
47 std::vector<Real>
fdPrice(
const std::vector<Real> &strikes)
const;
71 std::vector<Real>
x(
const std::vector<Real> &strikes)
const;
Real x(Real strike) const
Real normalVolatility(Real strike) const
Real lognormalVolatility(Real strike) const
Real localVolatility(Real f) const
Real fdPrice(Real strike) const
Real fullFdPrice(Real strike) const
Real localVolatilityHelper(Real f, Real x) const
Real lognormalVolatilityHelper(Real strike, Real x) const
Real normalVolatilityHelper(Real strike, Real x) const
Real F(Real y, Real u) const
Real y(Real strike) const