BlackVarianceTermStructure Class Reference
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
Inheritance diagram for BlackVarianceTermStructure:
Detailed 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.
Public Member Functions | |
Constructors | |
See 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 maturity, Real strike) const |
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 | maturity, | |
| Real | strike | |||
| ) | const [protected, virtual] |
Returns the volatility for the given strike and date calculating it from the variance.
Implements BlackVolTermStructure.