setInterpolation (3) - Linux Manuals

setInterpolation: Black volatility curve modelled as variance curve.

NAME

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

SYNOPSIS

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

Inherits QuantLib::BlackVarianceTermStructure.

Public Member Functions

ExtendedBlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Handle< Quote > > &volatilities, const DayCounter &dayCounter, bool forceMonotoneVariance=true)

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 curve modelled as variance curve.

This class is similar to BlackVarianceCurve, 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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