- QuantLib
- BlackVolTermStructure
Black-volatility term structure. More...
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>

Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
| BlackVolTermStructure (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| BlackVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| default constructor | |
| BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date | |
| BlackVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
Black Volatility | |
| Volatility | blackVol (const Date &maturity, Real strike, bool extrapolate=false) const |
| spot volatility | |
| Volatility | blackVol (Time maturity, Real strike, bool extrapolate=false) const |
| spot volatility | |
| Real | blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const |
| spot variance | |
| Real | blackVariance (Time maturity, Real strike, bool extrapolate=false) const |
| spot variance | |
| Volatility | blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) volatility | |
| Volatility | blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) volatility | |
| Real | blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) variance | |
| Real | blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) variance | |
Visitability | |
| virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
Calculations | |
These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. | |
| virtual Real | blackVarianceImpl (Time t, Real strike) const =0 |
| Black variance calculation. | |
| virtual Volatility | blackVolImpl (Time t, Real strike) const =0 |
| Black volatility calculation. | |
Black-volatility term structure.
This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
| BlackVolTermStructure | ( | const Calendar & | cal, |
| BusinessDayConvention | bdc = Following, |
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| const DayCounter & | dc = DayCounter() |
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| ) |
| BlackVolTermStructure | ( | BusinessDayConvention | bdc = Following, |
| const DayCounter & | dc = DayCounter() |
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| ) |
default constructor