ql/Volatilities/blackvariancecurve.hpp File Reference
Detailed Description
Black volatility curve modelled as variance curve.
#include <ql/voltermstructure.hpp>
#include <ql/Math/interpolation.hpp>
#include <ql/DayCounters/actual365fixed.hpp>
Include dependency graph for blackvariancecurve.hpp:

Namespaces | |
| namespace | QuantLib |
Classes | |
| class | BlackVarianceCurve |
| Black volatility curve modelled as variance curve. More... | |