- QuantLib
- BlackVolTermStructure
 
Black-volatility term structure. More...
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>

| Public Member Functions | |
| Constructors | |
| See the TermStructure documentation for issues regarding constructors. | |
| BlackVolTermStructure (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| BlackVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| default constructor | |
| BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date | |
| BlackVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
| Black Volatility | |
| Volatility | blackVol (const Date &maturity, Real strike, bool extrapolate=false) const | 
| spot volatility | |
| Volatility | blackVol (Time maturity, Real strike, bool extrapolate=false) const | 
| spot volatility | |
| Real | blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const | 
| spot variance | |
| Real | blackVariance (Time maturity, Real strike, bool extrapolate=false) const | 
| spot variance | |
| Volatility | blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const | 
| forward (at-the-money) volatility | |
| Volatility | blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const | 
| forward (at-the-money) volatility | |
| Real | blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const | 
| forward (at-the-money) variance | |
| Real | blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const | 
| forward (at-the-money) variance | |
| Visitability | |
| virtual void | accept (AcyclicVisitor &) | 
| Protected Member Functions | |
| Calculations | |
| These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. | |
| virtual Real | blackVarianceImpl (Time t, Real strike) const =0 | 
| Black variance calculation. | |
| virtual Volatility | blackVolImpl (Time t, Real strike) const =0 | 
| Black volatility calculation. | |
Black-volatility term structure.
This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
| BlackVolTermStructure | ( | const Calendar & | cal, | 
| BusinessDayConvention | bdc = Following, | ||
| const DayCounter & | dc = DayCounter() | ||
| ) | 
| BlackVolTermStructure | ( | BusinessDayConvention | bdc = Following, | 
| const DayCounter & | dc = DayCounter() | ||
| ) | 
default constructor