BlackVarianceCurve Class Reference

Black volatility curve modelled as variance curve. More...

#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>

Inheritance diagram for BlackVarianceCurve:

List of all members.

Public Member Functions

 BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, const DayCounter &dayCounter, bool forceMonotoneVariance=true)
TermStructure interface
DayCounter dayCounter () const
 the day counter used for date/time conversion
Date maxDate () const
 the latest date for which the curve can return values
VolatilityTermStructure interface
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 Interpolator >
void setInterpolation (const Interpolator &i=Interpolator())
Visitability
virtual void accept (AcyclicVisitor &)

Protected Member Functions

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


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.

Possible enhancements:
check time extrapolation