- QuantLib
- BlackVolatilityTermStructure
Black-volatility term structure. More...
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
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 |
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.
BlackVolatilityTermStructure | ( | const Calendar & | cal, |
BusinessDayConvention | bdc = Following , |
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const DayCounter & | dc = DayCounter() |
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) |
BlackVolatilityTermStructure | ( | BusinessDayConvention | bdc = Following , |
const DayCounter & | dc = DayCounter() |
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) |
default constructor
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.