BlackVarianceTermStructure Class Reference

#include <voltermstructure.hpp>

Inheritance diagram for BlackVarianceTermStructure:

Inheritance graph
[legend]
List of all members.

Detailed Description

Black Variance term structure.

This abstract class acts as an adapter to VolTermStructure allowing the programmer to implement only the blackVarianceImpl(Time, double, bool) method in derived classes.

Volatility are assumed to be expressed on an annual basis.


Protected Member Functions

double blackVolImpl (Time maturity, double strike, bool extrapolate=false) const


Member Function Documentation

double blackVolImpl Time  maturity,
double  strike,
bool  extrapolate = false
const [protected, virtual]
 

Returns the volatility for the given strike and date calculating it from the variance.

Implements BlackVolTermStructure.


The documentation for this class was generated from the following files:

QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen