QuantLib_BlackVolSurface (3) - Linux Manuals

QuantLib_BlackVolSurface: Black volatility (smile) surface.

NAME

QuantLib::BlackVolSurface - Black volatility (smile) surface.

SYNOPSIS

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

Inherits QuantLib::BlackAtmVolCurve.

Inherited by EquityFXVolSurface, and InterestRateVolSurface.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

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

Black spot volatility

boost::shared_ptr< SmileSection > smileSection (const Period &, bool extrapolate) const
returns the smile for a given option tenor
boost::shared_ptr< SmileSection > smileSection (const Date &, bool extrapolate) const
returns the smile for a given option date
boost::shared_ptr< SmileSection > smileSection (Time, bool extrapolate) const
returns the smile for a given option time

Visitability

void accept (AcyclicVisitor &)

Protected Member Functions

BlackAtmVolCurve interface

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

Calculations
This method must be implemented in derived classes to perform the actual volatility calculations. When it is called, time check has already been performed; therefore, it must assume that time-extrapolation is allowed.

virtual boost::shared_ptr< SmileSection > smileSectionImpl (Time) const =0

Detailed Description

Black volatility (smile) surface.

This abstract class defines the interface of concrete Black volatility (smile) surface which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

Constructor & Destructor Documentation

BlackVolSurface (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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