BlackVolatilityTermStructure Class Reference

#include <ql/voltermstructure.hpp>

Inheritance diagram for BlackVolatilityTermStructure:

Inheritance graph
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List of all members.

Detailed Description

Black-volatility term structure.

This abstract class acts as an adapter to BlackVolTermStructure allowing the programmer to implement only the blackVolImpl(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.

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

Real blackVarianceImpl (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

Real blackVarianceImpl ( Time  maturity,
Real  strike 
) const [protected, virtual]

Returns the variance for the given strike and date calculating it from the volatility.

Implements BlackVolTermStructure.