BlackVolatilityTermStructure Class Reference
#include <ql/voltermstructure.hpp>
Inheritance diagram for BlackVolatilityTermStructure:

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 |
Constructor & Destructor Documentation
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
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.