- QuantLib
- BlackVarianceCurve
 
Black volatility curve modelled as variance curve. More...
#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>

| Public Member Functions | |
| BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, const DayCounter &dayCounter, bool forceMonotoneVariance=true) | |
| 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) const | 
| Black variance calculation. | |
Black volatility curve modelled as variance curve.
This class calculates time-dependent Black volatilities using as input a vector of (ATM) Black volatilities observed in the market.
The calculation is performed interpolating on the variance curve. Linear interpolation is used as default; this can be changed by the setInterpolation() method.
For strike dependence, see BlackVarianceSurface.