ImpliedVolTermStructure Class Reference
#include <ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp>
Inheritance diagram for ImpliedVolTermStructure:

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 Handle< BlackVolTermStructure > &originalTS, const Date &referenceDate) | |
BlackVolTermStructure interface | |
| DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Date | maxDate () const |
| the latest date for which the curve can return values | |
| Real | minStrike () const |
| the minimum strike for which the term structure can return vols | |
| Real | maxStrike () const |
| the maximum strike for which the term structure can return vols | |
Visitability | |
| virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
| virtual Real | blackVarianceImpl (Time t, Real strike) const |
| Black variance calculation. | |