This abstract class defines the interface of concrete Black volatility term structures which will be derived from this one.
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Public Member Functions |
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double | blackVol (const Date &maturity, double strike, bool extrapolate=false) const |
| Black present (a.k.a spot) volatility.
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double | blackVol (Time maturity, double strike, bool extrapolate=false) const |
| Black present (a.k.a spot) volatility.
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double | blackVariance (const Date &maturity, double strike, bool extrapolate=false) const |
| Black present (a.k.a spot) variance.
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double | blackVariance (Time maturity, double strike, bool extrapolate=false) const |
| Black present (a.k.a spot) variance.
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double | blackForwardVol (const Date &date1, const Date &date2, double strike, bool extrapolate=false) const |
| Black future (a.k.a. forward) volatility.
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double | blackForwardVol (Time time1, Time time2, double strike, bool extrapolate=false) const |
| Black future (a.k.a. forward) volatility.
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double | blackForwardVariance (const Date &date1, const Date &date2, double strike, bool extrapolate=false) const |
| Black future (a.k.a. forward) variance.
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double | blackForwardVariance (Time time1, Time time2, double strike, bool extrapolate=false) const |
| Black future (a.k.a. forward) variance.
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virtual double | timeDerivative (Time t, double strike, bool extrapolate=false) const |
| Partial derivative of Black volatility with respect to time.
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virtual double | strikeDerivative (Time t, double strike, bool extrapolate=false) const |
| Partial derivative of Black volatility with respect to strike.
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virtual double | strikeSecondDerivative (Time t, double strike, bool extrapolate=false) const |
| Second-order derivative of Black volatility with respect to strike.
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virtual Date | referenceDate () const=0 |
| returns the reference date for which t=0
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virtual DayCounter | dayCounter () const=0 |
| returns the day counter
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virtual Date | maxDate () const=0 |
| the latest date for which the term structure can return vols
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Time | maxTime () const |
| the latest time for which the term structure can return vols
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Protected Member Functions |
virtual double | blackVarianceImpl (Time t, double strike, bool extrapolate=false) const=0 |
| implements the actual Black variance calculation in derived classes
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virtual double | blackVolImpl (Time t, double strike, bool extrapolate=false) const=0 |
| implements the actual Black vol calculation in derived classes
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