BlackVolTermStructure Class Reference

#include <ql/voltermstructure.hpp>

Inheritance diagram for BlackVolTermStructure:

Inheritance graph
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List of all members.

Detailed Description

Black-volatility term structure.

This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.


Public Member Functions

Black Volatility
Volatility blackVol (const Date &maturity, Real strike, bool extrapolate=false) const
 present (a.k.a spot) volatility

Volatility blackVol (Time maturity, Real strike, bool extrapolate=false) const
 present (a.k.a spot) volatility

Real blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const
 present (a.k.a spot) variance

Real blackVariance (Time maturity, Real strike, bool extrapolate=false) const
 present (a.k.a spot) variance

Volatility blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
 future (a.k.a. forward) volatility

Volatility blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const
 future (a.k.a. forward) volatility

Real blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
 future (a.k.a. forward) variance

Real blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const
 future (a.k.a. forward) variance

Dates
virtual Date referenceDate () const =0
 returns the reference date for which t=0

virtual DayCounter dayCounter () const =0
 returns the day counter

Limits
virtual Date maxDate () const =0
 the latest date for which the term structure can return vols

Time maxTime () const
 the latest time for which the term structure can return vols

virtual Real minStrike () const =0
 the minimum strike for which the term structure can return vols

virtual Real maxStrike () const =0
 the maximum strike for which the term structure can return vols

Visitability
virtual void accept (AcyclicVisitor &)

Protected Member Functions

Calculations
These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.

virtual Real blackVarianceImpl (Time t, Real strike) const =0
 Black variance calculation.

virtual Volatility blackVolImpl (Time t, Real strike) const =0
 Black volatility calculation.


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