BlackVarianceCurve Class Reference

#include <ql/Volatilities/blackvariancecurve.hpp>

Inheritance diagram for BlackVarianceCurve:

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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


Public Member Functions

 BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< double > &blackVolCurve, const DayCounter &dayCounter=Actual365())
BlackVolTermStructure interface
Date referenceDate () const
 returns the reference date for which t=0

DayCounter dayCounter () const
 returns the day counter

Date maxDate () const
 the latest date for which the term structure can return vols

Modifiers
template<class Traits> void setInterpolation ()
Observer interface
void update ()
Visitability
virtual void accept (AcyclicVisitor &)

Protected Member Functions

virtual double blackVarianceImpl (Time t, double, bool extrapolate=false) const
 implements the actual Black variance calculation in derived classes


Member Function Documentation

void update  )  [virtual]
 

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.


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