QuantLib_BlackConstantVol (3) - Linux Manuals

QuantLib_BlackConstantVol: Constant Black volatility, no time-strike dependence.

NAME

QuantLib::BlackConstantVol - Constant Black volatility, no time-strike dependence.

SYNOPSIS

#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>

Inherits QuantLib::BlackVolatilityTermStructure.

Public Member Functions

BlackConstantVol (const Date &referenceDate, const Calendar &, Volatility volatility, const DayCounter &dayCounter)

BlackConstantVol (const Date &referenceDate, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter)

BlackConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter)

BlackConstantVol (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter)

TermStructure interface

Date maxDate () const
the latest date for which the curve can return values

VolatilityTermStructure interface

Real minStrike () const
the minimum strike for which the term structure can return vols
Real maxStrike () const
the maximum strike for which the term structure can return vols

Visitability

virtual void accept (AcyclicVisitor &)

Protected Member Functions

virtual Volatility blackVolImpl (Time t, Real) const
Black volatility calculation.

Detailed Description

Constant Black volatility, no time-strike dependence.

This class implements the BlackVolatilityTermStructure interface for a constant Black volatility (no time/strike dependence).

Examples:

ConvertibleBonds.cpp, DiscreteHedging.cpp, EquityOption.cpp, and Replication.cpp.

Author

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