LocalVolatility.hpp

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#ifndef FTQUANT_LOCALVOLATILITY_HPP
#define FTQUANT_LOCALVOLATILITY_HPP
#include <functional>
#include <vector>
 
class LocalVolatility {
 private:
  double r;
  std::function<double(double, double)> sigma;
 
 public:
  LocalVolatility();
 
  LocalVolatility(double r, std::function<double(double, double)>& sigma)
      : r(r), sigma(sigma) {}
 
  int calibrate_dupire(std::vector<std::vector<double>>& w,
                       std::vector<double>& T, std::vector<double>& y,
                       double spot);
  std::vector<std::vector<double>> generate_paths(int n_paths, double spot,
                                                  int steps, double T);
};
 
#endif  //FTQUANT_LOCALVOLATILITY_HPP