BlackConstantVol Class Reference#include <blackconstantvol.hpp>
Inheritance diagram for BlackConstantVol:
[legend]List of all members.
Detailed Description
Constant Black volatility, no time-strike dependence.
This class implements the BlackVolatilityTermStructure interface for a constant Black volatility (no time/strike dependence).
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Public Member Functions |
| BlackConstantVol (const Date &referenceDate, double volatility, const DayCounter &dayCounter=DayCounters::Actual365()) |
| BlackConstantVol (const Date &referenceDate, const RelinkableHandle< MarketElement > &volatility, const DayCounter &dayCounter=DayCounters::Actual365()) |
Date | referenceDate () const |
| returns the reference date for which t=0
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DayCounter | dayCounter () const |
| returns the day counter
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Date | maxDate () const |
| the latest date for which the term structure can return vols
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double | blackForwardVol (Time t1, Time t2, double, bool extrapolate=false) const |
| overload base class method in order to avoid numerical round-off
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double | timeDerivative (Time t, double, bool extrapolate=false) const |
| Partial derivative of Black volatility with respect to time.
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double | strikeDerivative (Time t, double strike, bool extrapolate=false) const |
| Partial derivative of Black volatility with respect to strike.
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double | strikeSecondDerivative (Time t, double strike, bool extrapolate=false) const |
| Second-order derivative of Black volatility with respect to strike.
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void | update () |
Protected Member Functions |
virtual double | blackVolImpl (Time t, double, bool extrapolate=false) const |
| implements the actual Black vol calculation in derived classes
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Member Function Documentation
void update |
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This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer. |
The documentation for this class was generated from the following file:
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