BlackVarianceTermStructure (3) Linux Manual Page
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
ConstructorsSee 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) constDetailed 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.