QuantLib_ExtendedBlackVarianceSurface (3) - Linux Manuals

QuantLib_ExtendedBlackVarianceSurface: Black volatility surface modelled as variance surface.

NAME

QuantLib::ExtendedBlackVarianceSurface - Black volatility surface modelled as variance surface.

SYNOPSIS

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

Inherits QuantLib::BlackVarianceTermStructure.

Public Types

enum Extrapolation { ConstantExtrapolation, InterpolatorDefaultExtrapolation }

Public Member Functions

ExtendedBlackVarianceSurface (const Date &referenceDate, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &strikes, const std::vector< Handle< Quote > > &volatilities, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation)

DayCounter dayCounter () const
the day counter used for date/time conversion
Date maxDate () const
the latest date for which the curve can return values
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
template<class Interpolator > void setInterpolation (const Interpolator &i=Interpolator())

void accept (AcyclicVisitor &)

void update ()

Detailed Description

Black volatility surface modelled as variance surface.

This class is similar to BlackVarianceSurface, but extends it to use quotes for the input volatilities.

Member Function Documentation

void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from TermStructure.

Author

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