NAME

QuantLib::BlackVarianceTermStructure - Black variance term structure.

SYNOPSIS


#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>

Inherits QuantLib::BlackVolTermStructure.

Inherited by BlackVarianceCurve, BlackVarianceSurface, ExtendedBlackVarianceCurve, ExtendedBlackVarianceSurface, and ImpliedVolTermStructure.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.


BlackVarianceTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
default constructor
BlackVarianceTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
initialize with a fixed reference date
BlackVarianceTermStructure (Natural settlementDays, const Calendar &, 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


Volatility blackVolImpl (Time t, Real strike) const

Detailed Description

Black variance term structure.

This abstract class acts as an adapter to VolTermStructure allowing the programmer to implement only the blackVarianceImpl(Time, Real, bool) method in derived classes.

Volatility are assumed to be expressed on an annual basis.

Constructor & Destructor Documentation

BlackVarianceTermStructure (const Calendar & cal = Calendar(), BusinessDayConvention bdc = Following, const DayCounter & dc = DayCounter())

default constructor

Warning

term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

Member Function Documentation

Volatility blackVolImpl (Time t, Real strike) const [protected, virtual]

Returns the volatility for the given strike and date calculating it from the variance.

Implements BlackVolTermStructure.

Author

Generated automatically by Doxygen for QuantLib from the source code.