- QuantLib
- BlackConstantVol
Constant Black volatility, no time-strike dependence. More...
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
Public Member Functions | |
BlackConstantVol (const Date &referenceDate, const Calendar &, Volatility volatility, const DayCounter &dayCounter) | |
BlackConstantVol (const Date &referenceDate, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter) | |
BlackConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) | |
BlackConstantVol (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter) | |
TermStructure interface | |
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 Volatility | blackVolImpl (Time t, Real) const |
Black volatility calculation. |
Constant Black volatility, no time-strike dependence.
This class implements the BlackVolatilityTermStructure interface for a constant Black volatility (no time/strike dependence).