blackvariancesurface (3) - Linux Manuals

blackvariancesurface: Black volatility surface modelled as variance surface.

Command to display blackvariancesurface manual in Linux: $ man 3 blackvariancesurface

NAME

ql/termstructures/volatility/equityfx/blackvariancesurface.hpp - Black volatility surface modelled as variance surface.

SYNOPSIS

#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/math/matrix.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>

Classes

class BlackVarianceSurface
Black volatility surface modelled as variance surface.

Detailed Description

Black volatility surface modelled as variance surface.

Author

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