BlackConstantVol Class Reference

#include <ql/Volatilities/blackconstantvol.hpp>

Inheritance diagram for BlackConstantVol:

Inheritance graph
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List of all members.

Detailed Description

Constant Black volatility, no time-strike dependence.

This class implements the BlackVolatilityTermStructure interface for a constant Black volatility (no time/strike dependence).


Public Member Functions

 BlackConstantVol (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter=Actual365())
 BlackConstantVol (const Date &referenceDate, const RelinkableHandle< Quote > &volatility, 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

Observer interface
void update ()
Visitability
virtual void accept (AcyclicVisitor &)

Protected Member Functions

virtual Volatility blackVolImpl (Time t, Real) const
 Black volatility 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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