QuantLib_BlackAtmVolCurve (3) - Linux Manuals

QuantLib_BlackAtmVolCurve: Black at-the-money (no-smile) volatility curve.

Command to display QuantLib_BlackAtmVolCurve manual in Linux: $ man 3 QuantLib_BlackAtmVolCurve

NAME

QuantLib::BlackAtmVolCurve - Black at-the-money (no-smile) volatility curve.

SYNOPSIS

#include <ql/experimental/volatility/blackatmvolcurve.hpp>

Inherits QuantLib::VolatilityTermStructure.

Inherited by AbcdAtmVolCurve, and BlackVolSurface.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

BlackAtmVolCurve (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
default constructor
BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
initialize with a fixed reference date
BlackAtmVolCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date

Black at-the-money spot volatility

Volatility atmVol (const Period &optionTenor, bool extrapolate=false) const
spot at-the-money volatility
Volatility atmVol (const Date &maturity, bool extrapolate=false) const
spot at-the-money volatility
Volatility atmVol (Time maturity, bool extrapolate=false) const
spot at-the-money volatility
Real atmVariance (const Period &optionTenor, bool extrapolate=false) const
spot at-the-money variance
Real atmVariance (const Date &maturity, bool extrapolate=false) const
spot at-the-money variance
Real atmVariance (Time maturity, bool extrapolate=false) const
spot at-the-money variance

Visitability

virtual void accept (AcyclicVisitor &)

Protected Member Functions

Calculations
These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.

virtual Real atmVarianceImpl (Time t) const =0
spot at-the-money variance calculation
virtual Volatility atmVolImpl (Time t) const =0
spot at-the-money volatility calculation

Detailed Description

Black at-the-money (no-smile) volatility curve.

This abstract class defines the interface of concrete Black at-the-money (no-smile) volatility curves which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

Constructor & Destructor Documentation

BlackAtmVolCurve (const Calendar & cal = Calendar(), BusinessDayConvention bdc = Following, const DayCounter & dc = DayCounter())

default constructor

Warning

: term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

Author

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