BlackAtmVolCurve Class Reference

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

#include <ql/experimental/volatility/blackatmvolcurve.hpp>

Inheritance diagram for BlackAtmVolCurve:

List of all members.

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


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.


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.