BlackVarianceSurface Class Template Reference#include <blackvariancesurface.hpp>
Inheritance diagram for BlackVarianceSurface:
[legend]List of all members.
Detailed Description
template<class Interpolator2D>
class QuantLib::VolTermStructures::BlackVarianceSurface< Interpolator2D >
Black volatility surface modelled as variance surface.
This class calculates time/strike dependant Black volatilities using as input a matrix of Black volatilities observed in the market.
The calculation is performed interpolating on the variance surface.
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Public Types |
enum | Extrapolation { ConstantExtrapolation,
InterpolatorDefaultExtrapolation
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Public Member Functions |
| BlackVarianceSurface (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< double > &strikes, const QuantLib::Math::Matrix &blackVolMatrix, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation, 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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void | update () |
Protected Member Functions |
virtual double | blackVarianceImpl (Time t, double strike, 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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