29 lines
649 B
C++
29 lines
649 B
C++
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/**
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* @file VolatilitySurface.hpp
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* @brief Implied volatility as a function of strike and expiry.
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*/
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#ifndef QUANTENGINE_VOLATILITYSURFACE_HPP
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#define QUANTENGINE_VOLATILITYSURFACE_HPP
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#include <vector>
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/**
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* @brief Local/vol surface @f$\sigma(K,T)@f$ used by simulation.
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*/
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class VolatilitySurface {
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public:
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virtual ~VolatilitySurface() = default;
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virtual double sigma(double K, double T) const = 0;
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private:
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};
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class SVI : public VolatilitySurface {
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public:
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SVI() = default;
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SVI(std::vector<double> K, std::vector<double> rho, std::vector<double> S, std::vector<double> T);
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};
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#endif //QUANTENGINE_VOLATILITYSURFACE_HPP
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