ql/Volatilities/blackvariancecurve.hpp File Reference


Detailed Description

Black volatility curve modelled as variance curve.

#include <ql/voltermstructure.hpp>
#include <ql/Math/interpolation.hpp>
#include <ql/DayCounters/actual365fixed.hpp>

Include dependency graph for blackvariancecurve.hpp:

Include dependency graph

Namespaces

namespace  QuantLib

Classes

class  BlackVarianceCurve
 Black volatility curve modelled as variance curve. More...

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