BlackVarianceTermStructure Class Reference

#include <ql/voltermstructure.hpp>

Inheritance diagram for BlackVarianceTermStructure:

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List of all members.

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 BaseTermStructure documentation for issues regarding constructors.

 BlackVarianceTermStructure ()
 default constructor
 BlackVarianceTermStructure (const Date &today, const Date &referenceDate)
 initialize with a fixed reference date
 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

BlackVarianceTermStructure  ) 
 

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.


Member Function Documentation

Volatility blackVolImpl Time  maturity,
Real  strike
const [protected, virtual]
 

Returns the volatility for the given strike and date calculating it from the variance.

Implements BlackVolTermStructure.


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