atmForwardVariance (3) - Linux Manuals

atmForwardVariance: Equity/FX volatility (smile) surface.

NAME

QuantLib::EquityFXVolSurface - Equity/FX volatility (smile) surface.

SYNOPSIS

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

Inherits QuantLib::BlackVolSurface.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

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

Black Volatility

Volatility atmForwardVol (const Date &date1, const Date &date2, bool extrapolate=false) const
forward (at-the-money) volatility
Volatility atmForwardVol (Time time1, Time time2, bool extrapolate=false) const
forward (at-the-money) volatility
Real atmForwardVariance (const Date &date1, const Date &date2, bool extrapolate=false) const
forward (at-the-money) variance
Real atmForwardVariance (Time time1, Time time2, bool extrapolate=false) const
forward (at-the-money) variance

Visitability

virtual void accept (AcyclicVisitor &)

Detailed Description

Equity/FX volatility (smile) surface.

This abstract class defines the interface of concrete Equity/FX volatility (smile) surfaces which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

It's only in absence of smile that the concept of (at-the-money) forward volatility makes sense.

Constructor & Destructor Documentation

EquityFXVolSurface (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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