BlackVolTermStructure Class Reference

#include <ql/voltermstructure.hpp>

Inheritance diagram for BlackVolTermStructure:

Inheritance graph
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List of all members.

Detailed Description

Black-volatility term structure.

This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.


Public Member Functions

Black Volatility
double blackVol (const Date &maturity, double strike, bool extrapolate=false) const
 present (a.k.a spot) volatility

double blackVol (Time maturity, double strike, bool extrapolate=false) const
 present (a.k.a spot) volatility

double blackVariance (const Date &maturity, double strike, bool extrapolate=false) const
 present (a.k.a spot) variance

double blackVariance (Time maturity, double strike, bool extrapolate=false) const
 present (a.k.a spot) variance

double blackForwardVol (const Date &date1, const Date &date2, double strike, bool extrapolate=false) const
 future (a.k.a. forward) volatility

double blackForwardVol (Time time1, Time time2, double strike, bool extrapolate=false) const
 future (a.k.a. forward) volatility

double blackForwardVariance (const Date &date1, const Date &date2, double strike, bool extrapolate=false) const
 future (a.k.a. forward) variance

double blackForwardVariance (Time time1, Time time2, double strike, bool extrapolate=false) const
 future (a.k.a. forward) variance

Dates
virtual Date referenceDate () const=0
 returns the reference date for which t=0

virtual DayCounter dayCounter () const=0
 returns the day counter

virtual Date maxDate () const=0
 the latest date for which the term structure can return vols

Time maxTime () const
 the latest time for which the term structure can return vols

Visitability
virtual void accept (AcyclicVisitor &)

Protected Member Functions

virtual double blackVarianceImpl (Time t, double strike, bool extrapolate=false) const=0
 implements the actual Black variance calculation in derived classes

virtual double blackVolImpl (Time t, double strike, bool extrapolate=false) const=0
 implements the actual Black vol calculation in derived classes


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