from quantlib.termstructures.volatility.sabr_interpolated_smilesection import SabrInterpolatedSmileSection
from quantlib.time.api import Date, Period, Months
from quantlib.quotes import SimpleQuote
from quantlib.settings import Settings
import numpy as np

strikes = np.array([50, 55, 57.5, 60, 62.5, 65, 67.5, 70, 75, 80, 85])
pvs = np.array([53.65, 37.75, 31.55, 26.45, 22.25, 18.85, 16.15, 13.95, 10.55,
                8.05, 6.15, 4.65, 3.65, 2.75]) * 1e-4
option_date = Settings().instance().evaluation_date + Period(3, Months)
forward = SimpleQuote(58.71e-4)
strikes = np.array([50, 55, 57.5, 60, 62.5, 65, 67.5, 70, 75, 80, 85, 90, 95, 100]) * 1e-4
vol = np.array([28.5, 31.6, 33.7, 36.1, 38.7, 41.5, 44.1,
                46.5, 50.8, 54.4, 57.3, 59.8, 61.8, 63.6]) * 1e-2
vol_quotes = [SimpleQuote(q) for q in vol]

section = SabrInterpolatedSmileSection(option_date, forward, strikes, False,
                                       SimpleQuote(0.4), vol_quotes, 0.1, 1, 0.1, 0.5,
                                       is_beta_fixed=True)