BlackConstantVol Class Reference#include <ql/Volatilities/blackconstantvol.hpp>
Inheritance diagram for BlackConstantVol:
[legend]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). - Examples:
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AmericanOption.cpp, DiscreteHedging.cpp, and EuropeanOption.cpp.
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Public Member Functions |
| BlackConstantVol (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter) |
| BlackConstantVol (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter) |
| BlackConstantVol (Integer settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) |
| BlackConstantVol (Integer settlementDays, const Calendar &, const Handle< Quote > &volatility, 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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virtual void | accept (AcyclicVisitor &) |
Protected Member Functions |
virtual Volatility | blackVolImpl (Time t, Real) const |
| Black volatility calculation.
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