- QuantLib
- BlackVarianceSurface
 
Black volatility surface modelled as variance surface. More...
#include <ql/termstructures/volatility/equityfx/blackvariancesurface.hpp>

| 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. | |
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.