24#ifndef quantlib_noarbsabr_smile_section_hpp
25#define quantlib_noarbsabr_smile_section_hpp
39 std::vector<Real> sabrParameters,
44 std::vector<Real> sabrParameters,
56 Real gap = 1.0e-5)
const override;
66 ext::shared_ptr<NoArbSabrModel>
model_;
Actual/365 (Fixed) day counter.
Actual/365 (Fixed) day count convention.
Real atmLevel() const override
Real density(Rate strike, Real discount=1.0, Real gap=1.0E-4) const override
Real minStrike() const override
ext::shared_ptr< NoArbSabrModel > model_
Real digitalOptionPrice(Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const override
std::vector< Real > params_
ext::shared_ptr< NoArbSabrModel > model()
Real optionPrice(Rate strike, Option::Type type=Option::Call, Real discount=1.0) const override
Real maxStrike() const override
Volatility volatilityImpl(Rate strike) const override
interest rate volatility smile section
virtual VolatilityType volatilityType() const
virtual Rate shift() const
Real Time
continuous quantity with 1-year units
Real Volatility
volatility
Smile section base class.