QuantLib_BlackVarianceSurface man page

BlackVarianceSurface — Black volatility surface modelled as variance surface.

Synopsis

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

Inherits BlackVarianceTermStructure.

Public Types

enum Extrapolation { ConstantExtrapolation, InterpolatorDefaultExtrapolation }

Public Member Functions

BlackVarianceSurface (const Date &referenceDate, const Calendar &cal, const std::vector< Date > &dates, const std::vector< Real > &strikes, const Matrix &blackVolMatrix, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation)

TermStructure interface

DayCounter dayCounter () const
the day counter used for date/time conversion
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

Modifiers

template<class Interpolator > void setInterpolation (const Interpolator &i=Interpolator())

Visitability

virtual void accept (AcyclicVisitor &)

Protected Member Functions

virtual Real blackVarianceImpl (Time t, Real strike) const
Black variance calculation.

Additional Inherited Members

Detailed Description

Black volatility surface modelled as variance surface.

This class calculates time/strike dependent Black volatilities using as input a matrix of Black volatilities observed in the market.

The calculation is performed interpolating on the variance surface. Bilinear interpolation is used as default; this can be changed by the setInterpolation() method.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BlackVarianceSurface(3) is an alias of QuantLib_BlackVarianceSurface(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib