blackVarianceImpl (3) - Linux Manuals

blackVarianceImpl: Black volatility curve modelled as variance curve.

NAME

QuantLib::BlackVarianceCurve - Black volatility curve modelled as variance curve.

SYNOPSIS

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

Inherits QuantLib::BlackVarianceTermStructure.

Public Member Functions

BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, const DayCounter &dayCounter, bool forceMonotoneVariance=true)

TermStructure interface

DayCounter dayCounter () const
the day counter used for date/time conversion
Date maxDate () const
the latest date for which the curve can return values

VolatilityTermStructure interface

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

Modifiers

template<class Interpolator > void setInterpolation (const Interpolator &i=Interpolator())

Visitability

virtual void accept (AcyclicVisitor &)

Protected Member Functions

virtual Real blackVarianceImpl (Time t, Real) const
Black variance calculation.

Detailed Description

Black volatility curve modelled as variance curve.

This class calculates time-dependent Black volatilities using as input a vector of (ATM) Black volatilities observed in the market.

The calculation is performed interpolating on the variance curve. Linear interpolation is used as default; this can be changed by the setInterpolation() method.

For strike dependence, see BlackVarianceSurface.

Possible enhancements

check time extrapolation

Author

Generated automatically by Doxygen for QuantLib from the source code.