QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

ImpliedVolTermStructure Class Reference #include <impliedvoltermstructure.hpp> Inheritance diagram for ImpliedVolTermStructure: [legend]List of all members. Detailed Description Implied vol term structure at a given date in the future. The given date will be the implied reference date. Note: This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well. Warning: It doesn't make financial sense to have an asset-dependant implied Vol Term Structure. This class should be used with term structures that are time dependant only Public Member Functions   ImpliedVolTermStructure (const RelinkableHandle< BlackVolTermStructure > &originalTS, const Date &newReferenceDate) 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: ql/Volatilities/impliedvoltermstructure.hpp

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