BlackVolatilityTermStructure Class Reference#include <ql/voltermstructure.hpp>
Inheritance diagram for BlackVolatilityTermStructure:
[legend]List of all members.
Detailed Description
Black-volatility term structure.
This abstract class acts as an adapter to BlackVolTermStructure allowing the programmer to implement only the blackVolImpl(Time, Real, bool) method in derived classes.
Volatility are assumed to be expressed on an annual basis.
Constructor & Destructor Documentation
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default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
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Member Function Documentation
Real blackVarianceImpl |
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Time |
maturity, |
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Real |
strike |
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const [protected, virtual] |
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Returns the variance for the given strike and date calculating it from the volatility.
Implements BlackVolTermStructure. |
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