/usr/include/ql/experimental/volatility/sabrvoltermstructure.hpp is in libquantlib0-dev 1.12-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2017 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file sabrvoltermstructure.hpp
\brief implied vol surface backed by a SABR model
*/
#ifndef quantlib_sabr_vol_termstructure_hpp
#define quantlib_sabr_vol_termstructure_hpp
#include <ql/termstructures/volatility/sabr.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
namespace QuantLib {
class SABRVolTermStructure : public BlackVolatilityTermStructure {
public:
SABRVolTermStructure(Real alpha, Real beta, Real gamma, Real rho,
Real s0, Real r,
const Date& referenceDate, const DayCounter dc)
: BlackVolatilityTermStructure(
referenceDate, NullCalendar(), Following, dc),
alpha_(alpha), beta_(beta),
gamma_(gamma), rho_(rho),
s0_(s0), r_(r) { }
Date maxDate() const { return Date::maxDate(); }
Rate minStrike() const { return 0.0; }
Rate maxStrike() const { return QL_MAX_REAL; }
protected:
Volatility blackVolImpl(Time t, Real strike) const {
const Real fwd = s0_*std::exp(r_*t);
return sabrVolatility(strike, fwd, t, alpha_, beta_, gamma_, rho_);
}
private:
Real alpha_, beta_, gamma_, rho_, s0_, r_;
};
}
#endif
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