ImpliedVolTermStructure Class Reference

Implied vol term structure at a given date in the future. More...

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

Inheritance diagram for ImpliedVolTermStructure:

List of all members.

Public Member Functions

 ImpliedVolTermStructure (const Handle< BlackVolTermStructure > &origTS, const Date &referenceDate)
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
Visitability
virtual void accept (AcyclicVisitor &)

Protected Member Functions

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

Detailed Description

Implied vol term structure at a given date in the future.

The given date will be the implied reference date.

Note:
This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.
Warning:
It doesn't make financial sense to have an asset-dependant implied Vol Term Structure. This class should be used with term structures that are time dependant only.