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< double > &blackVolCurve, const DayCounter &dayCounter=Actual365()) |
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Date | referenceDate () const |
| returns the reference date for which t=0
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DayCounter | dayCounter () const |
| returns the day counter
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Date | maxDate () const |
| the latest date for which the term structure can return vols
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template<class Traits> void | setInterpolation () |
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void | update () |
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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
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Member Function Documentation
void update |
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[virtual] |
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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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