ImpliedVolTermStructure Class Reference

#include <impliedvoltermstructure.hpp>

Inheritance diagram for ImpliedVolTermStructure:

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Detailed Description

Implied vol term structure at a given date in the future.

The given date will be the implied reference date.

Note:
This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.
Warning:
It doesn't make financial sense to have an asset-dependant implied Vol Term Structure. This class should be used with term structures that are time dependant only


Public Member Functions

 ImpliedVolTermStructure (const RelinkableHandle< BlackVolTermStructure > &originalTS, const Date &newReferenceDate)
Date referenceDate () const
 returns the reference date for which t=0

DayCounter dayCounter () const
 returns the day counter

Date maxDate () const
 the latest date for which the term structure can return vols

void update ()

Protected Member Functions

virtual double blackVarianceImpl (Time t, double strike, bool extrapolate=false) const
 implements the actual Black variance calculation in derived classes


Member Function Documentation

void update  )  [virtual]
 

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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