25#ifndef quantlib_sabr_smile_section_hpp
26#define quantlib_sabr_smile_section_hpp
38 const std::vector<Real>& sabrParameters,
43 const std::vector<Real>& sabrParameters,
62 void initialise(
const std::vector<Real>& sabrParameters);
Actual/365 (Fixed) day counter.
Actual/365 (Fixed) day count convention.
Real atmLevel() const override
Real minStrike() const override
Real varianceImpl(Rate strike) const override
void initialise(const std::vector< Real > &sabrParameters)
Real maxStrike() const override
Volatility volatilityImpl(Rate strike) const override
interest rate volatility smile section
virtual const Date & referenceDate() const
virtual VolatilityType volatilityType() const
virtual Rate shift() const
Real Time
continuous quantity with 1-year units
Real Volatility
volatility
Smile section base class.