BlackVarianceTermStructure Class Reference
Black variance term structure. More...
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
Inheritance diagram for BlackVarianceTermStructure:

Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
BlackVarianceTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
default constructor | |
BlackVarianceTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
BlackVarianceTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
Volatility | blackVolImpl (Time t, Real strike) const |
Detailed Description
Black variance term structure.
This abstract class acts as an adapter to VolTermStructure allowing the programmer to implement only the blackVarianceImpl(Time, Real, bool)
method in derived classes.
Volatility are assumed to be expressed on an annual basis.
Constructor & Destructor Documentation
BlackVarianceTermStructure | ( | const Calendar & | cal = Calendar() , |
BusinessDayConvention | bdc = Following , |
||
const DayCounter & | dc = DayCounter() |
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) |
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
Volatility blackVolImpl | ( | Time | t, |
Real | strike | ||
) | const [protected, virtual] |
Returns the volatility for the given strike and date calculating it from the variance.
Implements BlackVolTermStructure.