BlackVolSurface (3) - Linux Manuals
BlackVolSurface: Black volatility (smile) surface.
NAME
QuantLib::BlackVolSurface - Black volatility (smile) surface.
SYNOPSIS
#include <ql/experimental/volatility/blackvolsurface.hpp>
Inherits QuantLib::BlackAtmVolCurve.
Inherited by EquityFXVolSurface, and InterestRateVolSurface.
Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
BlackVolSurface (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
default constructor
BlackVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
initialize with a fixed reference date
BlackVolSurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date
Black spot volatility
boost::shared_ptr< SmileSection > smileSection (const Period &, bool extrapolate) const
returns the smile for a given option tenor
boost::shared_ptr< SmileSection > smileSection (const Date &, bool extrapolate) const
returns the smile for a given option date
boost::shared_ptr< SmileSection > smileSection (Time, bool extrapolate) const
returns the smile for a given option time
Visitability
void accept (AcyclicVisitor &)
Protected Member Functions
BlackAtmVolCurve interface
Real atmVarianceImpl (Time t) const
spot at-the-money variance calculation
Volatility atmVolImpl (Time t) const
spot at-the-money volatility calculation
Calculations
This method must be implemented in derived classes to perform the actual volatility calculations. When it is called, time check has already been performed; therefore, it must assume that time-extrapolation is allowed.
virtual boost::shared_ptr< SmileSection > smileSectionImpl (Time) const =0
Detailed Description
Black volatility (smile) surface.
This abstract class defines the interface of concrete Black volatility (smile) surface which will be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
Constructor & Destructor Documentation
BlackVolSurface (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.
Author
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