BlackAtmVolCurve Class Reference

#include <ql/experimental/blackatmvolcurve.hpp>

Inheritance diagram for BlackAtmVolCurve:

List of all members.


Detailed Description

Black at-the-money (no-smile) volatility curve.

This abstract class defines the interface of concrete Black at-the-money (no-smile) volatility curves 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.

 BlackAtmVolCurve (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor
 BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 BlackAtmVolCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date
Black at-the-money spot volatility
Volatility atmVol (const Period &optionTenor, bool extrapolate=false) const
 spot at-the-money volatility
Volatility atmVol (const Date &maturity, bool extrapolate=false) const
 spot at-the-money volatility
Volatility atmVol (Time maturity, bool extrapolate=false) const
 spot at-the-money volatility
Real atmVariance (const Period &optionTenor, bool extrapolate=false) const
 spot at-the-money variance
Real atmVariance (const Date &maturity, bool extrapolate=false) const
 spot at-the-money variance
Real atmVariance (Time maturity, bool extrapolate=false) const
 spot at-the-money variance
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 atmVarianceImpl (Time t) const =0
 spot at-the-money variance calculation
virtual Volatility atmVolImpl (Time t) const =0
 spot at-the-money volatility calculation


Constructor & Destructor Documentation

BlackAtmVolCurve ( const Calendar cal = Calendar(),
BusinessDayConvention  bdc = Following,
const DayCounter dc = DayCounter() 
)

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.