BlackConstantVol Class Reference

#include <ql/Volatilities/blackconstantvol.hpp>

Inheritance diagram for BlackConstantVol:

Inheritance graph
[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).


Public Member Functions

 BlackConstantVol (const Date &referenceDate, double volatility, const DayCounter &dayCounter=Actual365())
 BlackConstantVol (const Date &referenceDate, const RelinkableHandle< Quote > &volatility, 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

double blackForwardVol (Time t1, Time t2, double strike, bool extrapolate=false) const
 future (a.k.a. forward) volatility

Observer interface
void update ()
Visitability
virtual void accept (AcyclicVisitor &)

Protected Member Functions

virtual double blackVolImpl (Time t, double, bool extrapolate=false) const
 implements the actual Black vol 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.


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen