blackForwardVariance (3) - Linux Manuals

blackForwardVariance: Black-volatility term structure.

NAME

QuantLib::BlackVolTermStructure - Black-volatility term structure.

SYNOPSIS


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

Inherits QuantLib::VolatilityTermStructure.

Inherited by BlackVarianceTermStructure, and BlackVolatilityTermStructure.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.


BlackVolTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
default constructor
BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
initialize with a fixed reference date
BlackVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date

Black Volatility


Volatility blackVol (const Date &maturity, Real strike, bool extrapolate=false) const
spot volatility
Volatility blackVol (Time maturity, Real strike, bool extrapolate=false) const
spot volatility
Real blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const
spot variance
Real blackVariance (Time maturity, Real strike, bool extrapolate=false) const
spot variance
Volatility blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
forward (at-the-money) volatility
Volatility blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const
forward (at-the-money) volatility
Real blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
forward (at-the-money) variance
Real blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const
forward (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 blackVarianceImpl (Time t, Real strike) const =0
Black variance calculation.
virtual Volatility blackVolImpl (Time t, Real strike) const =0
Black volatility calculation.

Detailed Description

Black-volatility term structure.

This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

Constructor & Destructor Documentation

BlackVolTermStructure (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.