QuantLib_BlackVolatilityTermStructure (3) - Linux Manuals

QuantLib_BlackVolatilityTermStructure: Black-volatility term structure.

NAME

QuantLib::BlackVolatilityTermStructure - Black-volatility term structure.

SYNOPSIS

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

Inherits QuantLib::BlackVolTermStructure.

Inherited by BlackConstantVol.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

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

Visitability

virtual void accept (AcyclicVisitor &)

Protected Member Functions

Real blackVarianceImpl (Time maturity, Real strike) const

Detailed Description

Black-volatility term structure.

This abstract class acts as an adapter to BlackVolTermStructure allowing the programmer to implement only the blackVolImpl(Time, Real, bool) method in derived classes.

Volatility are assumed to be expressed on an annual basis.

Constructor & Destructor Documentation

BlackVolatilityTermStructure (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.

Member Function Documentation

Real blackVarianceImpl (Time maturity, Real strike) const [protected, virtual]

Returns the variance for the given strike and date calculating it from the volatility.

Implements BlackVolTermStructure.

Author

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