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.
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Public Member Functions |
virtual DayCounter | dayCounter () const =0 |
| the day counter used for date/time conversion
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See the BaseTermStructure documentation for issues regarding constructors.
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| BlackVolTermStructure () |
| default constructor
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| BlackVolTermStructure (const Date &today, const Date &referenceDate) |
| initialize with a fixed reference date
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| BlackVolTermStructure (const Date &referenceDate) |
| initialize with a fixed reference date
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| BlackVolTermStructure (Integer settlementDays, const Calendar &) |
| calculate the reference date based on the global evaluation date
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Volatility | blackVol (const Date &maturity, Real strike, bool extrapolate=false) const |
| present (a.k.a spot) volatility
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Volatility | blackVol (Time maturity, Real strike, bool extrapolate=false) const |
| present (a.k.a spot) volatility
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Real | blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const |
| present (a.k.a spot) variance
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Real | blackVariance (Time maturity, Real strike, bool extrapolate=false) const |
| present (a.k.a spot) variance
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Volatility | blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const |
| future (a.k.a. forward) volatility
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Volatility | blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const |
| future (a.k.a. forward) volatility
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Real | blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const |
| future (a.k.a. forward) variance
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Real | blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const |
| future (a.k.a. forward) variance
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virtual Date | maxDate () const =0 |
| the latest date for which the term structure can return vols
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Time | maxTime () const |
| the latest time for which the term structure can return vols
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virtual Real | minStrike () const =0 |
| the minimum strike for which the term structure can return vols
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virtual Real | maxStrike () const =0 |
| the maximum strike for which the term structure can return vols
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virtual void | accept (AcyclicVisitor &) |
Protected Member Functions |
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These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.
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virtual Real | blackVarianceImpl (Time t, Real strike) const =0 |
| Black variance calculation.
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virtual Volatility | blackVolImpl (Time t, Real strike) const =0 |
| Black volatility calculation.
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