QuantLib_BlackVarianceTermStructure man page

BlackVarianceTermStructure — Black variance term structure.  


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

Inherits BlackVolTermStructure.

Inherited by AndreasenHugeVolatilityAdapter, BlackVarianceCurve, BlackVarianceSurface, ExtendedBlackVarianceCurve, ExtendedBlackVarianceSurface, and ImpliedVolTermStructure.

Public Member Functions

See the TermStructure documentation for issues regarding constructors.

BlackVarianceTermStructure (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


virtual void accept (AcyclicVisitor &)

Protected Member Functions

Volatility blackVolImpl (Time t, Real strike) const

Additional Inherited Members

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 (BusinessDayConvention bdc = Following, const DayCounter & dc = DayCounter())

default constructor


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.


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Referenced By

The man page BlackVarianceTermStructure(3) is an alias of QuantLib_BlackVarianceTermStructure(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib