BlackVarianceCurve Class Reference

#include <ql/Volatilities/blackvariancecurve.hpp>

Inheritance diagram for BlackVarianceCurve:

Inheritance graph
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List of all members.

Detailed Description

Black 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.

Todo:
check time extrapolation


Public Member Functions

 BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, const DayCounter &dayCounter=Actual365())
BlackVolTermStructure interface
Date referenceDate () const
 returns the reference date for which t=0

DayCounter dayCounter () const
 returns the day counter

Date maxDate () const
 the latest date for which the term structure can return vols

Real minStrike () const
 the minimum strike for which the term structure can return vols

Real maxStrike () const
 the maximum strike for which the term structure can return vols

Modifiers
template<class Traits> void setInterpolation ()
Observer interface
void update ()
Visitability
virtual void accept (AcyclicVisitor &)

Protected Member Functions

virtual Real blackVarianceImpl (Time t, Real) const
 Black variance calculation.


Member Function Documentation

void update  )  [virtual]
 

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.


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