- QuantLib
- EquityFXVolSurface
Equity/FX volatility (smile) surface. More...
#include <ql/experimental/volatility/equityfxvolsurface.hpp>
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
EquityFXVolSurface (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
EquityFXVolSurface (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
default constructor | |
EquityFXVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
EquityFXVolSurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
Black Volatility | |
Volatility | atmForwardVol (const Date &date1, const Date &date2, bool extrapolate=false) const |
forward (at-the-money) volatility | |
Volatility | atmForwardVol (Time time1, Time time2, bool extrapolate=false) const |
forward (at-the-money) volatility | |
Real | atmForwardVariance (const Date &date1, const Date &date2, bool extrapolate=false) const |
forward (at-the-money) variance | |
Real | atmForwardVariance (Time time1, Time time2, bool extrapolate=false) const |
forward (at-the-money) variance | |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
Equity/FX volatility (smile) surface.
This abstract class defines the interface of concrete Equity/FX volatility (smile) surfaces which will be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
It's only in absence of smile that the concept of (at-the-money) forward volatility makes sense.
EquityFXVolSurface | ( | const Calendar & | cal, |
BusinessDayConvention | bdc = Following , |
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const DayCounter & | dc = DayCounter() |
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) |
EquityFXVolSurface | ( | BusinessDayConvention | bdc = Following , |
const DayCounter & | dc = DayCounter() |
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) |
default constructor