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

Detailed Description
Black variance term structure.
This abstract class acts as an adapter to VolTermStructure allowing the programmer to implement only the blackVarianceImpl(Time, Real, bool)
method in derived classes.
Volatility are assumed to be expressed on an annual basis.
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
BlackVarianceTermStructure () | |
default constructor | |
BlackVarianceTermStructure (const Date &referenceDate) | |
initialize with a fixed reference date | |
BlackVarianceTermStructure (Integer settlementDays, const Calendar &) | |
calculate the reference date based on the global evaluation date | |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
Volatility | blackVolImpl (Time maturity, Real strike) const |
Constructor & Destructor Documentation
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default constructor
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Member Function Documentation
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Returns the volatility for the given strike and date calculating it from the variance. Implements BlackVolTermStructure. |