BlackVolTermStructure Class Reference

#include <ql/voltermstructure.hpp>

Inheritance diagram for BlackVolTermStructure:

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List of all members.

Detailed Description

Black-volatility term structure.

This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.


Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

 BlackVolTermStructure (const DayCounter &dc=Actual365Fixed())
 default constructor
 BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=Actual365Fixed())
 initialize with a fixed reference date
 BlackVolTermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=Actual365Fixed())
 calculate the reference date based on the global evaluation date
Black Volatility
Volatility blackVol (const Date &maturity, Real strike, bool extrapolate=false) const
 present (a.k.a spot) volatility
Volatility blackVol (Time maturity, Real strike, bool extrapolate=false) const
 present (a.k.a spot) volatility
Real blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const
 present (a.k.a spot) variance
Real blackVariance (Time maturity, Real strike, bool extrapolate=false) const
 present (a.k.a spot) variance
Volatility blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
 future (a.k.a. forward) volatility
Volatility blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const
 future (a.k.a. forward) volatility
Real blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
 future (a.k.a. forward) variance
Real blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const
 future (a.k.a. forward) variance
Limits
virtual Real minStrike () const=0
 the minimum strike for which the term structure can return vols
virtual Real maxStrike () const=0
 the maximum strike for which the term structure can return vols
Visitability
virtual void accept (AcyclicVisitor &)

Protected Member Functions

Calculations
These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.

virtual Real blackVarianceImpl (Time t, Real strike) const =0
 Black variance calculation.
virtual Volatility blackVolImpl (Time t, Real strike) const =0
 Black volatility calculation.


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.