30 ext::shared_ptr<AndreasenHugeVolatilityInterpl> volInterpl,
Real eps)
31 : eps_(eps), volInterpl_(
std::move(volInterpl)) {}
42 optionType, strike, fwd, npv,
64 return volInterpl_->riskFreeRate()->referenceDate();
67 return volInterpl_->riskFreeRate()->settlementDays();
Implements the BlackVolTermStructure interface based on a Andreasen-Huge volatility interpolation.
Andreasen-Huge local volatility calibration and interpolation.
Calendar calendar() const override
the calendar used for reference and/or option date calculation
AndreasenHugeVolatilityAdapter(ext::shared_ptr< AndreasenHugeVolatilityInterpl > volInterpl, Real eps=1e-6)
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
const ext::shared_ptr< AndreasenHugeVolatilityInterpl > volInterpl_
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 blackVarianceImpl(Time t, Real strike) const override
Black variance calculation.
Real maxStrike() const override
the maximum strike for which the term structure can return vols
template class providing a null value for a given type.
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
functionals and combinators not included in the STL
Real blackFormulaImpliedStdDevLiRS(Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount, Real displacement, Real guess, Real w, Real accuracy, Natural maxIterations)
Interest-rate term structure.