22 lines
515 B
C++
22 lines
515 B
C++
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/**
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* @file FlatVolatilitySurface.hpp
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* @brief Constant implied volatility surface.
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*/
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#ifndef QUANTENGINE_FLATVOLATILITYSURFACE_HPP
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#define QUANTENGINE_FLATVOLATILITYSURFACE_HPP
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#include "VolatilitySurface.hpp"
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/**
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* @brief @f$\sigma(K,T)\equiv\sigma_0@f$.
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*/
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class FlatVolatilitySurface : public VolatilitySurface {
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public:
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explicit FlatVolatilitySurface(double sigma = 0.2) : sigma_(sigma) {}
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double sigma(double K, double T) const override {return sigma_;}
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private:
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double sigma_;
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};
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#endif
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