BlackVolTermStructure Class Reference

#include <voltermstructure.hpp>

Inheritance diagram for BlackVolTermStructure:

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List of all members.

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


Public Member Functions

Black Volatility
double blackVol (const Date &maturity, double strike, bool extrapolate=false) const
 Black present (a.k.a spot) volatility.

double blackVol (Time maturity, double strike, bool extrapolate=false) const
 Black present (a.k.a spot) volatility.

double blackVariance (const Date &maturity, double strike, bool extrapolate=false) const
 Black present (a.k.a spot) variance.

double blackVariance (Time maturity, double strike, bool extrapolate=false) const
 Black present (a.k.a spot) variance.

double blackForwardVol (const Date &date1, const Date &date2, double strike, bool extrapolate=false) const
 Black future (a.k.a. forward) volatility.

double blackForwardVol (Time time1, Time time2, double strike, bool extrapolate=false) const
 Black future (a.k.a. forward) volatility.

double blackForwardVariance (const Date &date1, const Date &date2, double strike, bool extrapolate=false) const
 Black future (a.k.a. forward) variance.

double blackForwardVariance (Time time1, Time time2, double strike, bool extrapolate=false) const
 Black future (a.k.a. forward) variance.

virtual double timeDerivative (Time t, double strike, bool extrapolate=false) const
 Partial derivative of Black volatility with respect to time.

virtual double strikeDerivative (Time t, double strike, bool extrapolate=false) const
 Partial derivative of Black volatility with respect to strike.

virtual double strikeSecondDerivative (Time t, double strike, bool extrapolate=false) const
 Second-order derivative of Black volatility with respect to strike.

Dates
virtual Date referenceDate () const=0
 returns the reference date for which t=0

virtual DayCounter dayCounter () const=0
 returns the day counter

virtual Date maxDate () const=0
 the latest date for which the term structure can return vols

Time maxTime () const
 the latest time for which the term structure can return vols


Protected Member Functions

virtual double blackVarianceImpl (Time t, double strike, bool extrapolate=false) const=0
 implements the actual Black variance calculation in derived classes

virtual double blackVolImpl (Time t, double strike, bool extrapolate=false) const=0
 implements the actual Black vol calculation in derived classes


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

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