QuantLib_BlackVolTermStructure (3) - Linux Manuals

QuantLib_BlackVolTermStructure: Black-volatility term structure.

NAME

QuantLib::BlackVolTermStructure - Black-volatility term structure.

SYNOPSIS

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

Inherits QuantLib::VolatilityTermStructure.

Inherited by BlackVarianceTermStructure, and BlackVolatilityTermStructure.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

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

Black Volatility

Volatility blackVol (const Date &maturity, Real strike, bool extrapolate=false) const
spot volatility
Volatility blackVol (Time maturity, Real strike, bool extrapolate=false) const
spot volatility
Real blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const
spot variance
Real blackVariance (Time maturity, Real strike, bool extrapolate=false) const
spot variance
Volatility blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
forward (at-the-money) volatility
Volatility blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const
forward (at-the-money) volatility
Real blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
forward (at-the-money) variance
Real blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const
forward (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 blackVarianceImpl (Time t, Real strike) const =0
Black variance calculation.
virtual Volatility blackVolImpl (Time t, Real strike) const =0
Black volatility calculation.

Detailed Description

Black-volatility term structure.

This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

Constructor & Destructor Documentation

BlackVolTermStructure (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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