extendedblackvariancesurface.hpp

Langue: en

Autres versions - même langue

Version: 381305 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/experimental/volatility/extendedblackvariancesurface.hpp -

Black volatility surface modelled as variance surface.

SYNOPSIS


#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/math/matrix.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/handle.hpp>
#include <ql/quote.hpp>

Classes


class ExtendedBlackVarianceSurface
Black volatility surface modelled as variance surface.

Detailed Description

Black volatility surface modelled as variance surface.

Author

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