BlackVolatilityTermStructure Class Reference

#include <ql/voltermstructure.hpp>

Inheritance diagram for BlackVolatilityTermStructure:

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Detailed Description

Black-volatility term structure.

This abstract class acts as an adapter to BlackVolTermStructure allowing the programmer to implement only the blackVolImpl(Time, Real, bool) method in derived classes.

Volatility are assumed to be expressed on an annual basis.


Public Member Functions

Visitability
virtual void accept (AcyclicVisitor &)

Protected Member Functions

Real blackVarianceImpl (Time maturity, Real strike) const


Member Function Documentation

Real blackVarianceImpl Time  maturity,
Real  strike
const [protected, virtual]
 

Returns the variance for the given strike and date calculating it from the volatility.

Implements BlackVolTermStructure.


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