atmVariance (3) - Linux Man Pages
atmVariance: Black at-the-money (no-smile) volatility curve.
NAME
QuantLib::BlackAtmVolCurve - Black at-the-money (no-smile) volatility curve.
SYNOPSIS
#include <ql/experimental/volatility/blackatmvolcurve.hpp>
Inherits QuantLib::VolatilityTermStructure.
Inherited by AbcdAtmVolCurve, and BlackVolSurface.
Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
BlackAtmVolCurve (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
default constructor
BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
initialize with a fixed reference date
BlackAtmVolCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date
Black at-the-money spot volatility
Volatility atmVol (const Period &optionTenor, bool extrapolate=false) const
spot at-the-money volatility
Volatility atmVol (const Date &maturity, bool extrapolate=false) const
spot at-the-money volatility
Volatility atmVol (Time maturity, bool extrapolate=false) const
spot at-the-money volatility
Real atmVariance (const Period &optionTenor, bool extrapolate=false) const
spot at-the-money variance
Real atmVariance (const Date &maturity, bool extrapolate=false) const
spot at-the-money variance
Real atmVariance (Time maturity, bool extrapolate=false) const
spot 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 atmVarianceImpl (Time t) const =0
spot at-the-money variance calculation
virtual Volatility atmVolImpl (Time t) const =0
spot at-the-money volatility calculation
Detailed Description
Black at-the-money (no-smile) volatility curve.
This abstract class defines the interface of concrete Black at-the-money (no-smile) volatility curves which will be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
Constructor & Destructor Documentation
BlackAtmVolCurve (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
Generated automatically by Doxygen for QuantLib from the source code.