BlackConstantVol Class Reference
#include <ql/termstructures/volatilities/blackconstantvol.hpp>
Inheritance diagram for BlackConstantVol:

Detailed Description
Constant Black volatility, no time-strike dependence.This class implements the BlackVolatilityTermStructure interface for a constant Black volatility (no time/strike dependence).
- Examples:
-
ConvertibleBonds.cpp, DiscreteHedging.cpp, EquityOption.cpp, and Replication.cpp.
Public Member Functions | |
BlackConstantVol (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter) | |
BlackConstantVol (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter) | |
BlackConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) | |
BlackConstantVol (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter) | |
BlackVolTermStructure interface | |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Date | maxDate () const |
the latest date for which the curve can return values | |
Real | minStrike () const |
the minimum strike for which the term structure can return vols | |
Real | maxStrike () const |
the maximum strike for which the term structure can return vols | |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
virtual Volatility | blackVolImpl (Time t, Real) const |
Black volatility calculation. |