BlackVarianceCurve Class Template Reference#include <blackvariancecurve.hpp>
Inheritance diagram for BlackVarianceCurve:
[legend]List of all members.
Detailed Description
template<class Interpolator1D>
class QuantLib::VolTermStructures::BlackVarianceCurve< Interpolator1D >
Black volatility curve modelled as variance curve.
This class calculates time dependant Black volatilities using as input a vector of (ATM) Black volatilities observed in the market.
The calculation is performed interpolating on the variance curve.
For strike dependance see BlackVarianceSurface
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Public Member Functions |
| BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< double > &blackVolCurve, 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 | 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 | blackVarianceImpl (Time t, double, bool extrapolate=false) const |
| implements the actual Black variance 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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