QuantLib_BlackVarianceCurve (3) - Linux Man Pages
QuantLib_BlackVarianceCurve: Black volatility curve modelled as variance curve.
QuantLib::BlackVarianceCurve - Black volatility curve modelled as variance curve.
Public Member Functions
BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, const DayCounter &dayCounter, bool forceMonotoneVariance=true)
DayCounter dayCounter () const
the day counter used for date/time conversion
Date maxDate () const
the latest date for which the curve can return values
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
template<class Interpolator > void setInterpolation (const Interpolator &i=Interpolator())
Protected Member Functions
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.
- check time extrapolation
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