BlackVarianceSurface Class Template Reference

#include <blackvariancesurface.hpp>

Inheritance diagram for BlackVarianceSurface:

Inheritance graph
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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.


Public Types

enum  Extrapolation { ConstantExtrapolation, InterpolatorDefaultExtrapolation }

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

DayCounter dayCounter () const
 returns the day counter

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

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


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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