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...