ql/termstructures/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/time/daycounters/actual365fixed.hpp>
Include dependency graph for blackvariancecurve.hpp:

Namespaces | |
namespace | QuantLib |
Classes | |
class | BlackVarianceCurve |
Black volatility curve modelled as variance curve. More... |