BlackVolatilityTermStructure Class Reference

#include <voltermstructure.hpp>

Inheritance diagram for BlackVolatilityTermStructure:

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Detailed Description

Black Volatility term structure.

This abstract class acts as an adapter to BlackVolTermStructure allowing the programmer to implement only the blackVolImpl(Time, double, bool) method in derived classes.

Volatility are assumed to be expressed on an annual basis.


Protected Member Functions

double blackVarianceImpl (Time maturity, double strike, bool extrapolate=false) const


Member Function Documentation

double blackVarianceImpl Time  maturity,
double  strike,
bool  extrapolate = false
const [protected, virtual]
 

Returns the variance for the given strike and date calculating it from the volatility.

Implements BlackVolTermStructure.


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

QuantLib.org
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