ExtendedBlackVarianceCurve Class Reference
Black volatility curve modelled as variance curve. More...
#include <ql/experimental/volatility/extendedblackvariancecurve.hpp>
Inheritance diagram for ExtendedBlackVarianceCurve:

Public Member Functions | |
ExtendedBlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Handle< Quote > > &volatilities, const DayCounter &dayCounter, bool forceMonotoneVariance=true) | |
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 | |
template<class Interpolator > | |
void | setInterpolation (const Interpolator &i=Interpolator()) |
void | accept (AcyclicVisitor &) |
void | update () |
Detailed Description
Black volatility curve modelled as variance curve.This class is similar to BlackVarianceCurve, but extends it to use quotes for the input volatilities.
Member Function Documentation
void update | ( | ) | [virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from TermStructure.