BlackConstantVol Class Reference

#include <ql/termstructures/volatilities/blackconstantvol.hpp>

Inheritance diagram for BlackConstantVol:

Inheritance graph
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List of all members.

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.