BlackVarianceCurve Class Template Reference

#include <blackvariancecurve.hpp>

Inheritance diagram for BlackVarianceCurve:

Inheritance graph
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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


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

DayCounter dayCounter () const
 returns the day counter

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

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

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

void update ()

Protected Member Functions

virtual double blackVarianceImpl (Time t, double, 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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