BlackVolatilityTermStructure Class Reference

Black-volatility term structure. More...

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

Inheritance diagram for BlackVolatilityTermStructure:

List of all members.

Public Member Functions

Constructors

See the TermStructure documentation for issues regarding constructors.

 BlackVolatilityTermStructure (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 BlackVolatilityTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor
 BlackVolatilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 BlackVolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date
Visitability
virtual void accept (AcyclicVisitor &)

Protected Member Functions

Real blackVarianceImpl (Time maturity, Real strike) const

Detailed Description

Black-volatility term structure.

This abstract class acts as an adapter to BlackVolTermStructure allowing the programmer to implement only the blackVolImpl(Time, Real, bool) method in derived classes.

Volatility are assumed to be expressed on an annual basis.


Constructor & Destructor Documentation

BlackVolatilityTermStructure ( const Calendar cal,
BusinessDayConvention  bdc = Following,
const DayCounter dc = DayCounter() 
)
Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
BlackVolatilityTermStructure ( BusinessDayConvention  bdc = Following,
const DayCounter dc = DayCounter() 
)

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

Member Function Documentation

Real blackVarianceImpl ( Time  maturity,
Real  strike 
) const [protected, virtual]

Returns the variance for the given strike and date calculating it from the volatility.

Implements BlackVolTermStructure.