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  • Committer: Bazaar Package Importer
  • Author(s): Dirk Eddelbuettel
  • Date: 2005-05-02 22:35:36 UTC
  • mfrom: (1.2.1 upstream) (2.1.1 hoary)
  • Revision ID: james.westby@ubuntu.com-20050502223536-yp0xshf1us9u76dn
Tags: 0.3.9-1
* New upstream release 0.3.9 announced today
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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_implied_vol_term_structure.html">ImpliedVolTermStructure</a></div>
 
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<h1>ImpliedVolTermStructure Class Reference</h1><code>#include &lt;ql/Volatilities/impliedvoltermstructure.hpp&gt;</code>
 
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<p>
 
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Inheritance diagram for ImpliedVolTermStructure:<p><center><img src="class_quant_lib_1_1_implied_vol_term_structure__inherit__graph.png" border="0" usemap="#_implied_vol_term_structure__inherit__map" alt="Inheritance graph"></center>
 
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<map name="_implied_vol_term_structure__inherit__map">
 
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<area href="class_quant_lib_1_1_black_vol_term_structure.html" shape="rect" coords="81,158,241,182" alt="">
 
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<area href="class_quant_lib_1_1_term_structure.html" shape="rect" coords="46,83,153,107" alt="">
 
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</map>
 
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_implied_vol_term_structure-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
 
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Implied vol term structure at a given date in the future. 
 
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<p>
 
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The given date will be the implied reference date. <dl compact><dt><b>Note:</b></dt><dd>This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.</dd></dl>
 
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<dl compact><dt><b>Warning:</b></dt><dd>It doesn't make financial sense to have an asset-dependant implied Vol Term Structure. This class should be used with term structures that are time dependant only </dd></dl>
 
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<p>
 
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<table border="0" cellpadding="0" cellspacing="0">
 
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<tr><td></td></tr>
 
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<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a0" doxytag="QuantLib::ImpliedVolTermStructure::ImpliedVolTermStructure"></a>
 
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&nbsp;</td><td class="memItemRight" valign="bottom"><b>ImpliedVolTermStructure</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>&lt; <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html">BlackVolTermStructure</a> &gt; &amp;originalTS, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &amp;referenceDate)</td></tr>
 
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<tr><td colspan="2"><div class="groupHeader">BlackVolTermStructure interface</div></td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="z185_0" doxytag="QuantLib::ImpliedVolTermStructure::dayCounter"></a>
 
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<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_implied_vol_term_structure.html#z185_0">dayCounter</a> () const </td></tr>
 
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<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">the day counter used for date/time conversion <br></td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="z185_1" doxytag="QuantLib::ImpliedVolTermStructure::maxDate"></a>
 
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<a class="el" href="class_quant_lib_1_1_date.html">Date</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_implied_vol_term_structure.html#z185_1">maxDate</a> () const </td></tr>
 
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<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">the latest date for which the term structure can return vols <br></td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="z185_2" doxytag="QuantLib::ImpliedVolTermStructure::minStrike"></a>
 
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<a class="el" href="group__types.html#ga3">Real</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_implied_vol_term_structure.html#z185_2">minStrike</a> () const </td></tr>
 
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<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">the minimum strike for which the term structure can return vols <br></td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="z185_3" doxytag="QuantLib::ImpliedVolTermStructure::maxStrike"></a>
 
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<a class="el" href="group__types.html#ga3">Real</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_implied_vol_term_structure.html#z185_3">maxStrike</a> () const </td></tr>
 
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<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">the maximum strike for which the term structure can return vols <br></td></tr>
 
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<tr><td colspan="2"><div class="groupHeader">Visitability</div></td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="z186_0" doxytag="QuantLib::ImpliedVolTermStructure::accept"></a>
 
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virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><b>accept</b> (<a class="el" href="class_quant_lib_1_1_acyclic_visitor.html">AcyclicVisitor</a> &amp;)</td></tr>
 
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<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b0" doxytag="QuantLib::ImpliedVolTermStructure::blackVarianceImpl"></a>
 
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virtual <a class="el" href="group__types.html#ga3">Real</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_implied_vol_term_structure.html#b0">blackVarianceImpl</a> (<a class="el" href="group__types.html#ga6">Time</a> t, <a class="el" href="group__types.html#ga3">Real</a> strike) const </td></tr>
 
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<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Black variance calculation. <br></td></tr>
 
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</table>
 
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