QuantLib_BlackConstantVol man page

BlackConstantVol — Constant Black volatility, no time-strike dependence.

Synopsis

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

Inherits BlackVolatilityTermStructure.

Public Member Functions

BlackConstantVol (const Date &referenceDate, const Calendar &, Volatility volatility, const DayCounter &dayCounter)

BlackConstantVol (const Date &referenceDate, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter)

BlackConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter)

BlackConstantVol (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter)

TermStructure interface

Date maxDate () const
the latest date for which the curve can return values

VolatilityTermStructure interface

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

Visitability

virtual void accept (AcyclicVisitor &)

Protected Member Functions

virtual Volatility blackVolImpl (Time t, Real) const
Black volatility calculation.

Additional Inherited Members

Detailed Description

Constant Black volatility, no time-strike dependence.

This class implements the BlackVolatilityTermStructure interface for a constant Black volatility (no time/strike dependence).

Examples: ConvertibleBonds.cpp, DiscreteHedging.cpp, EquityOption.cpp, and Replication.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BlackConstantVol(3) and blackVolImpl(3) are aliases of QuantLib_BlackConstantVol(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib