QuantLib_BlackVolSurface man page

BlackVolSurface — Black volatility (smile) surface.  


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

Inherits BlackAtmVolCurve.

Inherited by EquityFXVolSurface, and InterestRateVolSurface.

Public Member Functions

See the TermStructure documentation for issues regarding constructors.

BlackVolSurface (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
default constructor
BlackVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
initialize with a fixed reference date
BlackVolSurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date

Black spot volatility

boost::shared_ptr< SmileSection > smileSection (const Period &, bool extrapolate) const
returns the smile for a given option tenor
boost::shared_ptr< SmileSection > smileSection (const Date &, bool extrapolate) const
returns the smile for a given option date
boost::shared_ptr< SmileSection > smileSection (Time, bool extrapolate) const
returns the smile for a given option time


void accept (AcyclicVisitor &)

Protected Member Functions

BlackAtmVolCurve interface

Real atmVarianceImpl (Time t) const
spot at-the-money variance calculation
Volatility atmVolImpl (Time t) const
spot at-the-money volatility calculation

This method must be implemented in derived classes to perform the actual volatility calculations. When it is called, time check has already been performed; therefore, it must assume that time-extrapolation is allowed.

virtual boost::shared_ptr< SmileSection > smileSectionImpl (Time) const =0

Additional Inherited Members

Detailed Description

Black volatility (smile) surface.

This abstract class defines the interface of concrete Black volatility (smile) surface which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

Constructor & Destructor Documentation

BlackVolSurface (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.


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Referenced By

The man pages BlackVolSurface(3), smileSection(3) and smileSectionImpl(3) are aliases of QuantLib_BlackVolSurface(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib