QuantLib 0.3.8
Getting started
Reference manual
BlackVarianceCurve Class Reference
#include <ql/Volatilities/blackvariancecurve.hpp>
Inheritance diagram for BlackVarianceCurve:
Detailed Description
Black volatility curve modelled as variance curve.This class calculates time-dependent Black volatilities using as input a vector of (ATM) Black volatilities observed in the market.
The calculation is performed interpolating on the variance curve. Linear interpolation is used as default; this can be changed by the setInterpolation() method.
For strike dependence, see BlackVarianceSurface.
- Todo:
- check time extrapolation
Public Member Functions | |
| BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, const DayCounter &dayCounter) | |
BlackVolTermStructure interface | |
| DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Date | maxDate () const |
| the latest date for which the term structure can return vols | |
| 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 | |
Modifiers | |
| template<class Traits> | |
| void | setInterpolation () |
Visitability | |
| virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
| virtual Real | blackVarianceImpl (Time t, Real) const |
| Black variance calculation. | |
