25#ifndef quantlib_andreasen_huge_local_volatility_adapter_hpp
26#define quantlib_andreasen_huge_local_volatility_adapter_hpp
32 class AndreasenHugeVolatilityInterpl;
37 ext::shared_ptr<AndreasenHugeVolatilityInterpl>
localVol);
52 const ext::shared_ptr<AndreasenHugeVolatilityInterpl>
localVol_;
Calendar calendar() const override
the calendar used for reference and/or option date calculation
const ext::shared_ptr< AndreasenHugeVolatilityInterpl > localVol_
const Date & referenceDate() const override
the date at which discount = 1.0 and/or variance = 0.0
Real minStrike() const override
the minimum strike for which the term structure can return vols
Volatility localVolImpl(Time t, Real strike) const override
local vol calculation
Natural settlementDays() const override
the settlementDays used for reference date calculation
DayCounter dayCounter() const override
the day counter used for date/time conversion
Date maxDate() const override
the latest date for which the curve can return values
Real maxStrike() const override
the maximum strike for which the term structure can return vols
Volatility localVol(const Date &d, Real underlyingLevel, bool extrapolate=false) const
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
Real Volatility
volatility
Local volatility term structure base class.