BlackVarianceTermStructure Class Reference

Black variance term structure. More...

#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>

Inheritance diagram for BlackVarianceTermStructure:

List of all members.

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() 
)

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.