BlackVarianceCurve Class Reference#include <ql/Volatilities/blackvariancecurve.hpp>
Inheritance diagram for BlackVarianceCurve:
[legend]List of all members.
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.
- Todo:
- check time extrapolation
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Public Member Functions |
| BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, const DayCounter &dayCounter) |
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DayCounter | dayCounter () const |
| the day counter used for date/time conversion
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Date | maxDate () const |
| the latest date for which the term structure can return vols
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Real | minStrike () const |
| the minimum strike for which the term structure can return vols
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Real | maxStrike () const |
| the maximum strike for which the term structure can return vols
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template<class Interpolator> |
void | setInterpolation (const Interpolator &i=Interpolator()) |
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virtual void | accept (AcyclicVisitor &) |
Protected Member Functions |
virtual Real | blackVarianceImpl (Time t, Real) const |
| Black variance calculation.
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