24#ifndef quantlib_sabr_vol_termstructure_hpp
25#define quantlib_sabr_vol_termstructure_hpp
Black volatility term structure base classes.
Black-volatility term structure.
static Date maxDate()
latest allowed date
Calendar for reproducing theoretical calculations.
Rate maxStrike() const override
the maximum strike for which the term structure can return vols
Rate minStrike() const override
the minimum strike for which the term structure can return vols
SABRVolTermStructure(Real alpha, Real beta, Real gamma, Real rho, Real s0, Real r, const Date &referenceDate, const DayCounter &dc)
Date maxDate() const override
the latest date for which the curve can return values
Volatility blackVolImpl(Time t, Real strike) const override
Black volatility calculation.
virtual const Date & referenceDate() const
the date at which discount = 1.0 and/or variance = 0.0
Real Time
continuous quantity with 1-year units
Real Volatility
volatility
Real sabrVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, VolatilityType volatilityType)
Calendar for reproducing theoretical calculations.
ext::shared_ptr< YieldTermStructure > r