- QuantLib
- BlackVolSurface
Black volatility (smile) surface. More...
#include <ql/experimental/volatility/blackvolsurface.hpp>
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
BlackVolSurface (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
BlackVolSurface (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
default constructor | |
BlackVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
BlackVolSurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
Black spot volatility | |
boost::shared_ptr< SmileSection > | smileSection (const Period &, bool extrapolate) const |
returns the smile for a given option tenor | |
boost::shared_ptr< SmileSection > | smileSection (const Date &, bool extrapolate) const |
returns the smile for a given option date | |
boost::shared_ptr< SmileSection > | smileSection (Time, bool extrapolate) const |
returns the smile for a given option time | |
Visitability | |
void | accept (AcyclicVisitor &) |
Protected Member Functions | |
BlackAtmVolCurve interface | |
Real | atmVarianceImpl (Time t) const |
spot at-the-money variance calculation | |
Volatility | atmVolImpl (Time t) const |
spot at-the-money volatility calculation | |
Calculations | |
This method must be implemented in derived classes to perform the actual volatility calculations. When it is called, time check has already been performed; therefore, it must assume that time-extrapolation is allowed. | |
virtual boost::shared_ptr < SmileSection > | smileSectionImpl (Time) const =0 |
Black volatility (smile) surface.
This abstract class defines the interface of concrete Black volatility (smile) surface which will be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
BlackVolSurface | ( | const Calendar & | cal, |
BusinessDayConvention | bdc = Following , |
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const DayCounter & | dc = DayCounter() |
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) |
BlackVolSurface | ( | BusinessDayConvention | bdc = Following , |
const DayCounter & | dc = DayCounter() |
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) |
default constructor