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BlackVarianceCurve Class Reference#include <ql/Volatilities/blackvariancecurve.hpp>
Inheritance diagram for BlackVarianceCurve: ![]() Detailed DescriptionBlack volatility curve modelled as variance curve.This class calculates time-dependent Black volatilities using as input a vector of (ATM) Black volatilities observed in the market. The calculation is performed interpolating on the variance curve. Linear interpolation is used as default; this can be changed by the setInterpolation() method. For strike dependence, see BlackVarianceSurface.
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