BlackVolTermStructure Class Reference

Black-volatility term structure. More...

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

Inheritance diagram for BlackVolTermStructure:

List of all members.

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.

Detailed Description

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.


Constructor & Destructor Documentation

BlackVolTermStructure ( const Calendar cal,
BusinessDayConvention  bdc = Following,
const DayCounter dc = DayCounter() 
)
Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
BlackVolTermStructure ( BusinessDayConvention  bdc = Following,
const DayCounter dc = DayCounter() 
)

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.