BlackVarianceTermStructure Class Reference

#include <ql/voltermstructure.hpp>

Inheritance diagram for BlackVarianceTermStructure:

Inheritance graph
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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 TermStructure documentation for issues regarding constructors.

 BlackVarianceTermStructure (const DayCounter &dc=Actual365Fixed())
 default constructor
 BlackVarianceTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=Actual365Fixed())
 initialize with a fixed reference date
 BlackVarianceTermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=Actual365Fixed())
 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

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.