QuantLib_BlackAtmVolCurve man page

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

Synopsis

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

Inherits VolatilityTermStructure.

Inherited by AbcdAtmVolCurve, and BlackVolSurface.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

BlackAtmVolCurve (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

Additional Inherited 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.

Constructor & Destructor Documentation

BlackAtmVolCurve (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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

atmVariance(3), atmVol(3) and BlackAtmVolCurve(3) are aliases of QuantLib_BlackAtmVolCurve(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib