QuantLib_ImpliedVolTermStructure man page

ImpliedVolTermStructure — Implied vol term structure at a given date in the future.

Synopsis

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

Inherits BlackVarianceTermStructure.

Public Member Functions

ImpliedVolTermStructure (const Handle< BlackVolTermStructure > &origTS, const Date &referenceDate)

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

Visitability

virtual void accept (AcyclicVisitor &)

Protected Member Functions

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

Additional Inherited Members

Detailed Description

Implied vol term structure at a given date in the future.

The given date will be the implied reference date.

Note:

This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.

Warning

It doesn't make financial sense to have an asset-dependant implied Vol Term Structure. This class should be used with term structures that are time dependant only.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ImpliedVolTermStructure(3) is an alias of QuantLib_ImpliedVolTermStructure(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib