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

Detailed Description
Black volatility curve modelled as variance curve.This class calculates time-dependent Black volatilities using as input a vector of (ATM) Black volatilities observed in the market.
The calculation is performed interpolating on the variance curve. Linear interpolation is used as default; this can be changed by the setInterpolation() method.
For strike dependence, see BlackVarianceSurface.
- Todo:
- check time extrapolation
Public Member Functions | |
BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, const DayCounter &dayCounter, bool forceMonotoneVariance=true) | |
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 | |
Modifiers | |
template<class Interpolator> | |
void | setInterpolation (const Interpolator &i=Interpolator()) |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
virtual Real | blackVarianceImpl (Time t, Real) const |
Black variance calculation. |