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no anonymous namespace anymore, removed #pragma once
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ql/termstructures/volatility/equityfx/blackvariancetimeextrapolation.hpp

Lines changed: 3 additions & 4 deletions
Original file line numberDiff line numberDiff line change
@@ -20,7 +20,6 @@
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/*! \file blackvariancetimeextrapolation.hpp
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\brief Utility function for time extrapolation in Black volatility in black variance term structures
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*/
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#pragma once
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#include <array>
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#include <functional>
@@ -31,7 +30,7 @@
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namespace QuantLib {
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namespace {
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namespace detail {
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Real linearExtrapolation(const double t, const std::array<double, 2>& times, const std::array<double, 2>& variances);
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inline Real linearExtrapolation(const double t, const std::array<double, 2>& times,
@@ -79,7 +78,7 @@ namespace QuantLib {
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std::array<Real, 2> variances;
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variances[0] = varianceSurface(xs[0], strike, true);
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variances[1] = varianceSurface(xs[1], strike, true);
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Real v = linearExtrapolation(t, xs, variances);
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Real v = detail::linearExtrapolation(t, xs, variances);
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return v * v * t;
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}
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@@ -96,7 +95,7 @@ namespace QuantLib {
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std::array<Real, 2> variances;
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variances[0] = varianceCurve(xs[0], true);
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variances[1] = varianceCurve(xs[1], true);
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Real v = linearExtrapolation(t, xs, variances);
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Real v = detail::linearExtrapolation(t, xs, variances);
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return v * v * t;
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}
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} // namespace QuantLib

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