extendedblackvariancesurface (3) - Linux Manuals

extendedblackvariancesurface: Black volatility surface modelled as variance surface.

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

NAME

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

Classes

class ExtendedBlackVarianceSurface
Black volatility surface modelled as variance surface.

Detailed Description

Black volatility surface modelled as variance surface.

Author

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