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QuantLib_BlackVolTermStructure
Langue: en
Version: 168464 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::BlackVolTermStructure - Black-volatility term structure.SYNOPSIS
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
Inherits QuantLib::VolatilityTermStructure.
Inherited by BlackVarianceTermStructure, and BlackVolatilityTermStructure.
Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
BlackVolTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
default constructor
BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
initialize with a fixed reference date
BlackVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date
Black Volatility
Volatility blackVol (const Date &maturity, Real strike, bool extrapolate=false) const
spot volatility
Volatility blackVol (Time maturity, Real strike, bool extrapolate=false) const
spot volatility
Real blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const
spot variance
Real blackVariance (Time maturity, Real strike, bool extrapolate=false) const
spot variance
Volatility blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
forward (at-the-money) volatility
Volatility blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const
forward (at-the-money) volatility
Real blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
forward (at-the-money) variance
Real blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const
forward (at-the-money) variance
Visitability
virtual void accept (AcyclicVisitor &)
Protected Member Functions
Calculations
These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.
virtual Real blackVarianceImpl (Time t, Real strike) const =0
Black variance calculation.
virtual Volatility blackVolImpl (Time t, Real strike) const =0
Black volatility calculation.
Detailed Description
Black-volatility term structure.
This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
Constructor & Destructor Documentation
BlackVolTermStructure (const Calendar & cal = Calendar(), BusinessDayConvention bdc = Following, const DayCounter & dc = DayCounter())
default constructor
Warning
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Author
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Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre