Adapt Yield Curve and Volatility Surface and Market Data, to be better compatible with unit test.
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This commit is contained in:
David Doebel
2026-03-12 12:10:13 +01:00
parent 08298439ea
commit f98de4d0a3
13 changed files with 50 additions and 80 deletions

View File

@@ -6,6 +6,12 @@
#include "VolatilitySurface.hpp"
class FlatVolatilitySurface : public VolatilitySurface {
double sigma(double K, double T) {return 0.2;}
public:
explicit FlatVolatilitySurface(double sigma = 0.2) : sigma_(sigma) {}
double sigma(double K, double T) const override {return sigma_;}
private:
double sigma_;
};
#endif
#endif